Sökning: "Extreme Value Statistics"

Visar resultat 1 - 5 av 41 uppsatser innehållade orden Extreme Value Statistics.

  1. 1. Copula approach to fitting bivariate time series

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jun Wang; [2023]
    Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

  3. 2. Estimation of severe crash frequency using two surrogates

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Zhankun Chen; [2022]
    Nyckelord :Multivariate Extreme Value distributions; Copula; Extreme Value Theory; Crash frequency; Surrogate Meausre of Safety; Road safety; Mathematics and Statistics;

    Sammanfattning : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. LÄS MER

  4. 3. Hur påverkar översvämningsrisker fastighetsvärdet : Idag och i framtiden

    Kandidat-uppsats, Högskolan i Gävle/Samhällsbyggnad

    Författare :Alexander Haukirauma; Daniel Larsson; [2022]
    Nyckelord :Property; Property value; Sea level rise; Climate change; Flood; Fastighet; Fastighetsvärde; Havsstigning; Klimatförändring; Översvämning;

    Sammanfattning : Klimatfrågan växer sig större i dagens samhälle och det blir alltmer relevant att diskutera dess följder och negativa effekter. En av de effekter som drabbar jorden på grund av klimatets utveckling är översvämningar. Översvämningar har visat sig vara kostsamma för samhället på många sätt. LÄS MER

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

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Heidi Mach; [2022]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : 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. 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