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Dissertations / Theses on the topic 'Generalized extreme value'

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Published: 4 June 2021

Last updated: 26 July 2025

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1

Han, Zhongxian. "Actuarial modelling of extremal events using transformed generalized extreme value distributions and generalized pareto distributions." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1061227080.

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Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains x, 81 p.; also includes graphics (some col.). Includes abstract and vita. Advisor: Bostwick Wyman, Dept. of Mathematics. Includes bibliographical references (p. 80-81).

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Alentorn, Amadeo. "Option pricing with the Generalized Extreme Value distribution and applications." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437818.

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Milton, John Calvin. "Generalized extreme value and mixed logit models : empirical applications to vehicle accident severities /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/10152.

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Padoan, Simone. "Computational methods for complex problems in extreme value theory." Doctoral thesis, Università degli studi di Padova, 2008. http://hdl.handle.net/11577/3427194.

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Rare events are part of the real world but inevitably environmental extreme events may have a massive impact on everyday life. We are familiar, for example, with the consequences and damage caused by hurricanes and floods etc. Consequently, there is considerable attention in studying, understanding and predicting the nature of such phenomena and the problems caused by them, not least because of the possible link between extreme climate events and global warming or climate change. Thus the study of extreme events has become ever more important, both in terms of probabilistic and statistical re

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Shykhmanter, Dmytro. "Modeling Extreme Values." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199737.

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Modeling of extreme events is a challenging statistical task. Firstly, there is always a limit number of observations and secondly therefore no experience to back test the result. One way of estimating higher quantiles is to fit one of theoretical distributions to the data and extrapolate to the tail. The shortcoming of this approach is that the estimate of the tail is based on the observations in the center of distribution. Alternative approach to this problem is based on idea to split the data into two sub-populations and model body of the distribution separately from the tail. This methodol

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Ekengren, Jens. "Large and rare : An extreme values approach to estimating the distribution of large defects in high-performance steels." Doctoral thesis, Karlstads universitet, Avdelningen för maskin- och materialteknik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-8226.

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The presence of different types of defects is an important reality for manufacturers and users of engineering materials. Generally, the defects are either considered to be the unwanted products of impurities in the raw materials or to have been introduced during the manufacturing process. In high-quality steel materials, such as tool steel, the defects are usually non-metallic inclusions such as oxides or sulfides. Traditional methods for purity control during standard manufacturing practice are usually based on the light optical microscopy scanning of polished surfaces and some statistical ev

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Schmidt, Jacob Peter [Verfasser], Udo [Akademischer Betreuer] Kamps, and Erhard [Akademischer Betreuer] Cramer. "Generalized order statistics : stability and extreme value index estimation / Jacob Peter Schmidt ; Udo Kamps, Erhard Cramer." Aachen : Universitätsbibliothek der RWTH Aachen, 2017. http://d-nb.info/1156924413/34.

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Schmidt, Jacob [Verfasser], Udo [Akademischer Betreuer] Kamps, and Erhard [Akademischer Betreuer] Cramer. "Generalized order statistics : stability and extreme value index estimation / Jacob Peter Schmidt ; Udo Kamps, Erhard Cramer." Aachen : Universitätsbibliothek der RWTH Aachen, 2017. http://d-nb.info/1156924413/34.

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Engberg, Alexander. "An empirical comparison of extreme value modelling procedures for the estimation of high quantiles." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297063.

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The peaks over threshold (POT) method provides an attractive framework for estimating the risk of extreme events such as severe storms or large insurance claims. However, the conventional POT procedure, where the threshold excesses are modelled by a generalized Pareto distribution, suffers from small samples and subjective threshold selection. In recent years, two alternative approaches have been proposed in the form of mixture models that estimate the threshold and a folding procedure that generates larger tail samples. In this paper the empirical performances of the conventional POT procedur

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CHAVEZ, CHRISTIAM MIGUEL GONZALES. "VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2002. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Valor em Risco -VaR- já é parte das ferramentas habituais que um analista financeiro utiliza para estimar o risco de mercado. Na implementação do VaR é necessário que seja estimados quantis de baixa probabilidade para a distribuição condicional dos retornos dos portfólios. A metodologia tradicional para o cálculo do VaR requer a estimação de um modelo tipo GARCH com distribuição normal. Entretanto, a hipótese de normalidade condicional nem sempre é adequada, principalmente quando se deseja estimar o VaR em períodos atípicos

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Carvalho, Daniel Matos de. "Downscaling estoc?stico para extremos clim?ticos via interpola??o espacial." Universidade Federal do Rio Grande do Norte, 2010. http://repositorio.ufrn.br:8080/jspui/handle/123456789/17008.

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Made available in DSpace on 2014-12-17T15:26:38Z (GMT). No. of bitstreams: 1 DanielMC_DISSERT.pdf: 1549569 bytes, checksum: 5ad46f43cc6bf2e74f6fc1e20e5e2dc5 (MD5) Previous issue date: 2010-05-31<br>Conselho Nacional de Desenvolvimento Cient?fico e Tecnol?gico<br>Present day weather forecast models usually cannot provide realistic descriptions of local and particulary extreme weather conditions. However, for lead times of about a small number of days, they provide reliable forecast of the atmospheric circulation that encompasses the subscale processes leading to extremes. Hence, forecasts o

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Holešovský, Jan. "Metody odhadu parametrů rozdělení extrémního typu s aplikacemi." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2016. http://www.nusl.cz/ntk/nusl-240512.

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The thesis is focused on extreme value theory and its applications. Initially, extreme value distribution is introduced and its properties are discussed. At this basis are described two models mostly used for an extreme value analysis, i.e. the block maxima model and the Pareto-distribution threshold model. The first one takes advantage in its robustness, however recently the threshold model is mostly preferred. Although the threshold choice strongly affects estimation quality of the model, an optimal threshold selection still belongs to unsolved issues of this approach. Therefore, the thesis

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Paynter, Shayne. "Statistical changes in lakes in urbanizing watersheds and lake return frequencies adjusted for trend and initial stage utilizing generalized extreme value theory." [Tampa, Fla] : University of South Florida, 2009. http://purl.fcla.edu/usf/dc/et/SFE0002807.

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Cigsar, Candemir. "Goodness-of-fit Tests Based On Censored Samples." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606226/index.pdf.

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In this study, the most prominent goodness-of-fit tests for censored samples are reviewed. Power properties of goodness-of-fit statistics of the null hypothesis that a sample which is censored from right, left and both right and left which comes from uniform, normal and exponential distributions are investigated. Then, by a similar argument extreme value, student t with 6 degrees of freedom and generalized logistic distributions are discussed in detail through a comprehensive simulation study. A variety of real life applications are given. Suitable test statistics for testing the above distrib

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Aulbach, Stefan [Verfasser], Michael [Gutachter] Falk, and Clément [Gutachter] Dombry. "Contributions to Extreme Value Theory in Finite and Infinite Dimensions: With a Focus on Testing for Generalized Pareto Models / Stefan Aulbach ; Gutachter: Michael Falk, Clément Dombry." Würzburg : Universität Würzburg, 2016. http://d-nb.info/1123957703/34.

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Hitz, Adrien. "Modelling of extremes." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:ad32f298-b140-4aae-b50e-931259714085.

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This work focuses on statistical methods to understand how frequently rare events occur and what the magnitude of extreme values such as large losses is. It lies in a field called extreme value analysis whose scope is to provide support for scientific decision making when extreme observations are of particular importance such as in environmental applications, insurance and finance. In the univariate case, I propose new techniques to model tails of discrete distributions and illustrate them in an application on word frequency and multiple birth data. Suitably rescaled, the limiting tails of som

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Hofmann, Glenn, Erhard Cramer, N. Balakrishnan, and Gerd Kunert. "An Asymptotic Approach to Progressive Censoring." Universitätsbibliothek Chemnitz, 2002. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200201539.

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Progressive Type-II censoring was introduced by Cohen (1963) and has since been the topic of much research. The question stands whether it is sensible to use this sampling plan by design, instead of regular Type-II right censoring. We introduce an asymptotic progressive censoring model, and find optimal censoring schemes for location-scale families. Our optimality criterion is the determinant of the 2x2 covariance matrix of the asymptotic best linear unbiased estimators. We present an explicit expression for this criterion, and conditions for its boundedness. By means of numerical optimization

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Pinheiro, Eliane Cantinho. "Contribuições em inferência e modelagem de valores extremos." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-24062014-145858/.

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A teoria do valor extremo é aplicada em áreas de pesquisa tais como hidrologia, estudos de poluição, engenharia de materiais, controle de tráfego e economia. A distribuição valor extremo ou Gumbel é amplamente utilizada na modelagem de valores extremos de fenômenos da natureza e no contexto de análise de sobrevivência para modelar o logaritmo do tempo de vida. A modelagem de valores extremos de fenômenos da natureza tais como velocidade de vento, nível da água de rio ou mar, altura de onda ou umidade é importante em estatística ambiental pois o conhecimento de valores extremos de tais eventos

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Hartmann, Marcelo. "Métodos de Monte Carlo Hamiltoniano na inferência Bayesiana não-paramétrica de valores extremos." Universidade Federal de São Carlos, 2015. https://repositorio.ufscar.br/handle/ufscar/4601.

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Made available in DSpace on 2016-06-02T20:06:51Z (GMT). No. of bitstreams: 1 6609.pdf: 3049383 bytes, checksum: 33c7f1618f776ca50cf4694aaba80ea5 (MD5) Previous issue date: 2015-03-09<br>In this work we propose a Bayesian nonparametric approach for modeling extreme value data. We treat the location parameter _ of the generalized extreme value distribution as a random function following a Gaussian process model (Rasmussem & Williams 2006). This configuration leads to no closed-form expressions for the highdimensional posterior distribution. To tackle this problem we use the Riemannian Manifold

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Santo, Jonatas Silva do Espirito. "Modelo de regressão de valor extremo para dados agrupados." Universidade Federal de São Carlos, 2013. https://repositorio.ufscar.br/handle/ufscar/4565.

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Made available in DSpace on 2016-06-02T20:06:07Z (GMT). No. of bitstreams: 1 5034.pdf: 832896 bytes, checksum: 2e9dd202302339e95fd416a410d6eb7e (MD5) Previous issue date: 2013-03-11<br>Financiadora de Estudos e Projetos<br>One of the distributions used to model extremal events is the type I extremevalue distribution (Gumbel distribution). The usual extreme-value regression model requires independent observations. In this work, using generalized linear model (Mc-Cullagh e Nelder, 1989) and generalized estimating equations (Liang e Zeger, 1986), we developed the extreme-value regression model

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Santos, Jeferino Manuel dos. "Aplicação da Teoria de Valores Extremos à actividade seguradora." Master's thesis, Instituto Superior de Economia e Gestão, 2003. http://hdl.handle.net/10400.5/652.

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Mestrado em Ciências Actuariais<br>O objectivo principal deste trabalho é realçar a importância da Teoria de Valores Extremos na actividade seguradora. São apresentados de uma forma sucinta alguns dos principais resultados ligados a esta teoria. São apresentadas algumas estatísticas que possibilitam a simplificação do processo de reconhecimento de dados de cauda pesada. A modelação da cauda é um assunto de particular interesse, são apresentados dois métodos de modelação da cauda, um pelo ajustamento de uma distribuição de Pareto Generalizada, outro pela aplicação de um método semi-paramétrico

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Dalne, Katja. "The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-206168.

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The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). It proposes to use Expected Shortfall (ES) as risk measure instead of the currently used Value at Risk (VaR), as well as applying varying liquidity horizons based on the various risk levels of the assets involved. A major difficulty of implementing the FRTB lies within the backtesting of ES. Righi and Ceretta proposes a robust ES backtest based on Monte Carlo simulat

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Loum, Mor Absa. "Modèle de mélange et modèles linéaires généralisés, application aux données de co-infection (arbovirus & paludisme)." Thesis, Université Paris-Saclay (ComUE), 2018. http://www.theses.fr/2018SACLS299/document.

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Nous nous intéressons, dans cette thèse, à l'étude des modèles de mélange et des modèles linéaires généralisés, avec une application aux données de co-infection entre les arbovirus et les parasites du paludisme. Après une première partie consacrée à l'étude de la co-infection par un modèle logistique multinomial, nous proposons dans une deuxième partie l'étude des mélanges de modèles linéaires généralisés. La méthode proposée pour estimer les paramètres du mélange est une combinaison d'une méthode des moments et d'une méthode spectrale. Nous proposons à la fin une dernière partie consacrée aux

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Pansera, Wagner Alessandro. "Distribuição generalizada de chuvas máximas no Estado do Paraná." Universidade Estadual do Oeste do Parana, 2013. http://tede.unioeste.br:8080/tede/handle/tede/167.

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Made available in DSpace on 2017-05-12T14:46:53Z (GMT). No. of bitstreams: 1 Wagner.pdf: 5111902 bytes, checksum: b4edf3498cca6f9c7e2a9dbde6e62e18 (MD5) Previous issue date: 2013-12-07<br>The purpose of hydrologic frequency analysis is to relate magnitude of events with their occurrence frequency based on probability distribution. The generalized probability distributions can be used on the study concerning extreme hydrological events: extreme events, logistics and Pareto. There are several methodologies to estimate probability distributions parameters, however, L-moments are often used due

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Beyene, Mussie Abraham. "Modelling the Resilience of Offshore Renewable Energy System Using Non-constant Failure Rates." Thesis, Uppsala universitet, Institutionen för elektroteknik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-445650.

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Offshore renewable energy systems, such as Wave Energy Converters or an Offshore Wind Turbine, must be designed to withstand extremes of the weather environment. For this, it is crucial both to have a good understanding of the wave and wind climate at the intended offshore site, and of the system reaction and possible failures to different weather scenarios. Based on these considerations, the first objective of this thesis was to model and identify the extreme wind speed and significant wave height at an offshore site, based on measured wave and wind data. The extreme wind speeds and wave heig

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Fillon, Blandine. "Développement d'un outil statistique pour évaluer les charges maximales subies par l'isolation d'une cuve de méthanier au cours de sa période d'exploitation." Thesis, Poitiers, 2014. http://www.theses.fr/2014POIT2337/document.

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Ce travail de thèse porte sur les outils statistiques pour l'évaluation des maxima de charges de sloshing dans les cuves de méthaniers. Selon les caractéristiques du navire, son chargement et les conditions de navigation, un ballotement hydrodynamique est observé à l'intérieur des cuves, phénomène communément appelé sloshing. La détermination des charges qui s'appliquent à la structure est basée sur des mesures de pression d'impact au moyen d'essais sur maquette. Les maxima de pression par impact, extraits des mesures, sont étudiés. La durée d'un essai est équivalente à 5 heures au réel et ins

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Diamoutene, Abdoulaye. "Contribution de la Théorie des Valeurs Extrêmes à la gestion et à la santé des systèmes." Thesis, Toulouse, INPT, 2018. http://www.theses.fr/2018INPT0139/document.

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Le fonctionnement d'un système, de façon générale, peut être affecté par un incident imprévu. Lorsque cet incident a de lourdes conséquences tant sur l'intégrité du système que sur la qualité de ses produits, on dit alors qu'il se situe dans le cadre des événements dits extrêmes. Ainsi, de plus en plus les chercheurs portent un intérêt particulier à la modélisation des événements extrêmes pour diverses études telles que la fiabilité des systèmes et la prédiction des différents risques pouvant entraver le bon fonctionnement d'un système en général. C'est dans cette optique que s'inscrit la prés

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Lai, Jian-ting, and 賴荐廷. "A Study of A Generalized Extreme Value Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/77506458652279189114.

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Kuo, Mei-yu, and 郭美榆. "Modeling Brand Shares with A Generalized Extreme Value Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/16263317446644276698.

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Hung, Chuu-Hsiang, and 洪楚翔. "Tail Risk Estimation Using the Generalized Extreme Value Distribution." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/d6amw6.

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碩士<br>國立交通大學<br>經營管理研究所<br>107<br>In this paper issue of tail risk can be estimated using the generalized extreme value (GEV) distribution. In financial market the distribution of returns are hard to find. By extreme value theory (EVT), we should focus on the tail of the distribution F, which can converge to one of three possible distributions. The three distributions of block maxima can be written in a unified manner by means of the GEV distribution. The alternative approach widely used is the peaks over threshold method, which has generalized Pareto distribution (GPD). Though the block maxim

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Yang, Chau-Shiang, and 楊朝翔. "Mixed Generalized Extreme Value Models of Metro Access Mode Choice." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/92667395222755008733.

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碩士<br>逢甲大學<br>交通工程與管理所<br>98<br>In recent years, the use of private modes in Taiwan has continuously increasing and led to traffic congestions. Taichung City has been approved to construct the mass rapid transit system. In order to enhance the utilization of the new rapid transit system, it is important to have good transportation systems to access transit stations. The discrete choice analysis is a widely used approach for identifying important variables affecting access mode choice. Recent studies use multinomial logit model and nested logit model to analyze access mode. This paper applies

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Ning, Xu. "Advanced Age Mortality Modelling: An Extreme Value Theory Approach." Thesis, 2019. http://hdl.handle.net/1885/188476.

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In recent decades, the number of centenarians in developed countries has risen substantially as a result of improvements in quality of life and medical science (Robine and Caselli, 2005). The existence of this trend emphasizes the importance of accurately modelling extreme age survival probabilities. One recent development in this field is the threshold life table (TLT), due to Li, Hardy & Tan (2008). In the TLT model, from a sample or population of ages at death data, extreme value theory is used to make optimal use of the relatively small number of observations at high ages, while the tradit

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Silva, Josué de Sousa e. "How to deal with extreme observations in empirical finance: an application to capital markets." Master's thesis, 2011. http://hdl.handle.net/10071/4327.

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In the last few years, Extreme Value Theory (EVT) has gained increased importance in modeling extreme observations in all social sciences. This is especially true in finance, since EVT is a tool used to consider probabilities associated with extreme and rare events with catastrophic consequences, as happened in the Sub-prime crisis in 2007. To model extreme observations, we use two different statistical distribution families in this thesis: Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD). In this thesis, EVT methods were used to investigate and fit the empirical dis

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Jamáriková, Zuzana. "Teorie extrémních hodnot v aktuárských vědách." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-324582.

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This thesis is focused on the models based on extreme value theory and their practical applications. Specifically are described the block maxima models and the models based on threshold exceedances. Both of these methods are described in thesis theoretically. Apart from theoretical description there are also practical calculations based on simulated or real data. The applications of block maxima models are focused on choice of block size, suitability of the models for specific data and possibilities of extreme data analysis. The applications of models based on threshold exceedances are focused

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Liao, Yu-Ting, and 廖郁婷. "Prediction of Probability of Defaults for Emerging Company in Taiwan – The Application of Generalized Extreme Value Regression Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/yxjdcz.

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碩士<br>國立高雄第一科技大學<br>金融系碩士班金融組<br>102<br>This paper applies the principal component analysis to pick out the financial variables that have the explainatory power for emerging companies in Taiwan. The Generalized Extreme Value (GEV) regression model is used to predict the probability of default (PD) of emerging company. Traditionally, Logistic and Probit model is adopted by reserachers to predit the distress probability of a borrower, therefore, this paper compares the effectiveness of default prediction among GEV, Logistic, and Probit regression models. During the sampling period from 2001 to 2

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Aulbach, Stefan. "Contributions to Extreme Value Theory in Finite and Infinite Dimensions: With a Focus on Testing for Generalized Pareto Models." Doctoral thesis, 2015. https://nbn-resolving.org/urn:nbn:de:bvb:20-opus-127162.

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Extreme value theory aims at modeling extreme but rare events from a probabilistic point of view. It is well-known that so-called generalized Pareto distributions, which are briefly reviewed in Chapter 1, are the only reasonable probability distributions suited for modeling observations above a high threshold, such as waves exceeding the height of a certain dike, earthquakes having at least a certain intensity, and, after applying a simple transformation, share prices falling below some low threshold. However, there are cases for which a generalized Pareto model might fail. Therefore, Chapter

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Marques, Áurea Ponte. "Why standard risk models failed in the subprime crisis? An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios." Master's thesis, 2009. http://hdl.handle.net/10071/1832.

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JEL classification: G01, G21, G24, G28, G32, G33<br>The assessment of risk is an important and complex task with which market regulators and financial institutions are faced, especially after the last subprime crisis. It is argued that since market data is endogenous to market behaviour, statistical analysis made in times of stability does not provide much guidance in times of crisis. It is well known that the use of Gaussian models to assess financial risk leads to an underestimation of risk. The reason is because these models are unable to capture some important facts such as heavy tail

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Mináriková, Eva. "Modelování operačního rizika." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-328105.

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In the present thesis we will firstly familiarize ourselves with the term of operational risk, it's definition presented in the directives Basel II and Solvency II, and afterwards with the methods of calculation Capital Requirements for Operational Risk, set by these directives. In the second part of the thesis we will concentrate on the methods of modelling operational loss data. We will introduce the Extreme Value Theory which describes possible approaches to modelling data with significant values that occur infrequently; the typical characteristic of operational risk data. We will mainly fo

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Jelenová, Klára. "Metody modelování a statistické analýzy procesu extremálních hodnot." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-313585.

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In the present work we deal with the problem of etremal value of time series, especially of maxima. We study times and values of maximum by an approach of point process and we model distribution of extremal values by statistical methods. We estimate parameters of distribution using different methods, namely graphical methods of data analysis and subsequently we test the estimated distribution by tests of goodness of fit. We study the stationary case and also the cases with a trend. In connection with distribution of excesess and exceedances over a threshold we deal with generalized Pareto dist

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Garção, Tatiana Cristina Soares. "Avaliação empírica do risco de mercado: estimação do Value-at-risk pela Teoria dos Valores Extremos." Master's thesis, 2017. http://hdl.handle.net/10451/31902.

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Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2017<br>Nos últimos anos, os mercados financeiros têm apresentado comportamentos que se têm traduzido em perdas avultadas em especial para as instituições financeiras. Nesse sentido, os órgãos reguladores têm fomentado a implementação de metodologias de prevenção e gestão de risco. Ao nível das métricas mais populares para medir o risco encontram-se atualmente o Value-at-Risk (VaR), contudo as metodologias tradicionais de cálculo do VaR supõem normalidade e acomodam mal as ocorrên

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"Construction of the Intensity-Duration-Frequency (IDF) Curves under Climate Change." Thesis, 2014. http://hdl.handle.net/10388/ETD-2014-12-1865.

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Intensity-Duration-Frequency (IDF) curves are among the standard design tools for various engineering applications, such as storm water management systems. The current practice is to use IDF curves based on historical extreme precipitation quantiles. A warming climate, however, might change the extreme precipitation quantiles represented by the IDF curves, emphasizing the need for updating the IDF curves used for the design of urban storm water management systems in different parts of the world, including Canada. This study attempts to construct the future IDF curves for Saskatoon, Canada, und

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Tůmová, Alena. "Modely a statistická analýza procesu rekordů." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-300469.

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In this work we model the historical development of best performances in men's 100, 200, 400 and 800m running events. We suppose that the years best performances are independent random variables with generalized extreme value distribution for minima and that there is a decreasing trend in location. Parameters of the models are estimated by using maximum likelihood techniques. The data of years best performances are missing for some years, we treat them as right censored data that are censored by value of world record valid at that time. Graphic tools used for models diagnostics are adjusted to

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"Construction of one priori for the parameters of the generalized extreme values model based in quantis with Gumbel distribution." Tese, BIBLIOTECA CENTRAL DA UFLA, 2006. http://bibtede.ufla.br/tede//tde_busca/arquivo.php?codArquivo=247.

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Samuel, Richard Abayomi. "Modelling equity risk and external dependence: A survey of four African Stock Markets." Diss., 2019. http://hdl.handle.net/11602/1356.

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Department of Statistics<br>MSc (Statistics)<br>The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst n

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Persechino, Roberto. "Le modèle GREM jumelé à un champ magnétique aléatoire." Thèse, 2018. http://hdl.handle.net/1866/21150.

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