منابع مشابه
high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
15 صفحه اولJp1.15 Detected Trends in Extreme Temperature and Precipitation Indices in the Central/eastern European Region
Drought events in a particular region often occur in case of long-term lack of precipitation coinciding with hot weather. Global climate change implies increasing global mean temperature (IPCC, 2001), which may occur due to the increasing average and the modified frequency distribution of temperature values. The main objective of our research is to detect the possible changes of intensity and f...
متن کاملTrends in Extreme U.S. Temperatures
This paper develops trend estimation techniques for monthly maximum and minimum temperature time series observed in the 48 conterminous United States over the last century. While most scientists concur that this region has warmed on aggregate, there is no a priori reason to believe that temporal trends in extremes and averages will exhibit the same patterns. Indeed, underminor regularity condit...
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Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework.
متن کاملEstimating trends in data from the Weibull and a generalized extreme value distribution
[1] Where changes in hydrologic regime occur, whether as a result of change in land use or climate, statistical procedures are needed to test for the existence of trend in hydrological data, particularly those expected to follow extreme value distributions such as annual peak discharges, annual minimum flows, and annual maximum rainfall intensities. Furthermore, where trend is detected, its mag...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2020
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2019.1705307