Extremes of aggregated Dirichlet risks

Robust spatially aggregated projections of climate extremes

Many climatic extremes are changing1–5, and decision-makers express a strong need for reliable information on further changes over the coming decades as a basis for adaptation strategies. Here, we demonstrate that for extremes stakeholders will have to deal with large irreducible uncertainties on local to regional scales as a result of internal variability, even if climate models improve rapidl...

Bayesian Dirichlet mixture model for multivariate extremes: A re-parametrization

The probabilistic framework of extreme value theory is well-known: the dependence structure of large events is characterized by an angular measure on the positive orthant of the unit sphere. The family of these angular measures is non-parametric by nature. Nonetheless, any angular measure may be approached arbitrarily well by a mixture of Dirichlet distributions. The semi-parametric Dirichlet m...

securitization of mortality risks in life annuities

insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...

Extremes in Economics and the Economics of Extremes

Within econometrics, probability theory and statistics, an enormous literature exists on the topic of Extremes in Economics. See for instance Mikosch [47] and Klüppelberg [36] in this volume, and the numerous references listed in those contributions. For a long time, econometric research has shown that, for instance logarithmic returns of financial data are non–normal. Extremal moves up or down...

Meteorological Extremes