Essays about: "block-maxima"

Showing result 1 - 5 of 19 essays containing the word block-maxima.

  1. 1. Traffic safety analysis by surrogate measures:an extreme value approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Heidi Mach; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Road safety analyses are required for the prevention of road accident fatalities. In Europe, the ambition is "Vision Zero". Data that was used is collected by the research group Transport and Roads which is part of Department of Technology and Society at LTH, Lund University. READ MORE

  3. 2. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

    University essay from Lunds universitet/Matematisk statistik

    Author : Matilda Ekermann; Ida Swartling; [2022]
    Keywords : Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

    Abstract : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. READ MORE

  4. 3. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Evelyn Dela Gbadago; [2021]
    Keywords : Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

    Abstract : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. READ MORE

  5. 4. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

    University essay from Lunds universitet/Matematisk statistik

    Author : Lionel Arpin-Pont; [2020]
    Keywords : Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

    Abstract : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. READ MORE

  6. 5. A comparative study of VaR and ES using extreme value theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Klara Andersson; [2020]
    Keywords : extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

    Abstract : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. READ MORE