Sökning: "Peaks over Thresholds"

Hittade 4 uppsatser innehållade orden Peaks over Thresholds.

  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. 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

  4. 3. Extremvärdesanalys av havsvattennivån i Skanör

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Viktor Karlberg; [2021]
    Nyckelord :Extreme Value Statistics; Extreme Value Theory; Extreme Value Analysis; Block Maxima; Peaks over Thresholds; Sea Water Level; Climate Statistics; Sea Level; Sea Level Rise; Climate Change; Mathematics and Statistics;

    Sammanfattning : In May 2020 the Land and Environment Court concluded that Vellinge municipality are granted the right to build a total of 21 kilometers of walls and embankments for protection against a rising sea water level. To analyse this problem an Extreme Value approach is applied to sea level data from the area. LÄS MER

  5. 4. On Climate Change and Its Impact on Extreme Rainfall in Bangladesh

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Nasrin Sultana; [2015]
    Nyckelord :Key words: generalized extreme value distribution; generalized Pareto distribution; return level; bivariate extreme value distribution; bivariate generalized Pareto distribution; climate change; dependence.; Mathematics and Statistics;

    Sammanfattning : In recent years extreme value distributions have attracted a fair amount of attention in literature for risk assessment based on climate data. This thesis focuses on modeling a series of rainfall data over 58 years in the period 1954-2012 recorded at five different stations in Bangladesh. LÄS MER