Sökning: "Extremvärdesteori"

Visar resultat 1 - 5 av 14 uppsatser innehållade ordet Extremvärdesteori.

1. 1. Anomaly Detection in the EtherCAT Network of a Power Station : Improving a Graph Convolutional Neural Network Framework

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Niklas Barth; [2023]
   Nyckelord :Unsupervised Learning; Multivariate Time Series; Graph Convolutional Neural Networks; Anomaly Detection; Industrial Control System; EtherCAT; Power Station; Electricity Grid;

   Sammanfattning : In this thesis, an anomaly detection framework is assessed and fine-tuned to detect and explain anomalies in a power station, where EtherCAT, an Industrial Control System, is employed for monitoring. The chosen framework is based on a previously published Graph Neural Network (GNN) model, utilizing attention mechanisms to capture complex relationships between diverse measurements within the EtherCAT system. LÄS MER

3. 2. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :William Nord-Nilsson; [2023]
   Nyckelord :Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

   Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER

4. 3. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Axel Nilsson; [2022]
   Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

5. 4. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Eric Jakobsson; Thor Åhlgren; [2022]
   Nyckelord :Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

   Sammanfattning : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. LÄS MER

7. 5. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

   Kandidat-uppsats, Lunds universitet/Matematisk statistik

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

   Sammanfattning : 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. LÄS MER