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Extreme and Systemic Risk Analysis = A Loss Distribution Approach /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Extreme and Systemic Risk Analysis/ by Stefan Hochrainer-Stigler.
其他題名:	A Loss Distribution Approach /
作者:	Hochrainer-Stigler, Stefan.
面頁冊數:	XI, 156 p. 54 illus., 24 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Applied Statistics. -
電子資源:	https://doi.org/10.1007/978-981-15-2689-3
ISBN:	9789811526893

Extreme and Systemic Risk Analysis = A Loss Distribution Approach /
Hochrainer-Stigler, Stefan.

Extreme and Systemic Risk AnalysisA Loss Distribution Approach /[electronic resource] :by Stefan Hochrainer-Stigler. - 1st ed. 2020. - XI, 156 p. 54 illus., 24 illus. in color.online resource. - Integrated Disaster Risk Management,2509-7091. - Integrated Disaster Risk Management,.

Introduction -- Individual and Extreme Risk -- Systemic Risk and Dependencies -- Application. .

This book is about how extreme and systemic risk can be analyzed in an integrated way. Risk analysis is understood to include measurement, assessment as well as management aspects. Integration is understood as being able to perform risk analysis for extreme and systemic events simultaneously. The presented approach is based on Sklar's theorem, which states that a multivariate distribution can be separated into two parts – one describing the marginal distributions and the other describing the dependency between the distributions using a so-called copula. It is suggested to reinterpret Sklar's theorem from a system or network perspective, treating copulas as a network property and individual, including extreme, risk as elements within the network. In that way, extreme and systemic risk can be analyzed independently as well as jointly across several scales. The book is intended for a large audience, and all techniques presented are guided with examples and applications with a special focus on natural disaster events. Furthermore, an extensive literature and discussion of it are given in each chapter for the interested reader.

ISBN: 9789811526893

Standard No.: 10.1007/978-981-15-2689-3doiSubjects--Topical Terms:

1205141
Applied Statistics.

LC Class. No.: GB5000-5030

Dewey Class. No.: 551

Extreme and Systemic Risk Analysis = A Loss Distribution Approach /
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