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Extreme market risk and extreme value theory
Mathematics and Computers in Simulation, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Singh, Abhay K. +2 more
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Physics Education, 2002
The concept of risk has entered into physics courses in various guises. It is treated explicitly in the Advancing Physics [1] course and implicitly at GCSE through `Ideas and Evidence' discussions. This could easily lead to such ideas as the balance between treatment and risk in radiotherapy and the likelihood of an asteroid strike.
K P Zetie, J E M James
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The concept of risk has entered into physics courses in various guises. It is treated explicitly in the Advancing Physics [1] course and implicitly at GCSE through `Ideas and Evidence' discussions. This could easily lead to such ideas as the balance between treatment and risk in radiotherapy and the likelihood of an asteroid strike.
K P Zetie, J E M James
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Extreme value theory for singular measures
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2012In this paper, we perform an analytical and numerical study of the extreme values of specific observables of dynamical systems possessing an invariant singular measure. Such observables are expressed as functions of the distance of the orbit of initial conditions with respect to a given point of the attractor.
Faranda, Davide +3 more
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Penultimate Approximations in Extreme Value Theory
Extremes, 2000Let \(X_{n}, n\in N,\) be a sequence of independent, identically distributed r.v.'s with common distribution function \(F.\) In the recent paper by \textit{M. I. Gomes} and \textit{L. de Haan} [ibid. 2, No. 1, 71-85 (1999; Zbl 0947.60019)] exact penultimate approximation rates w.r.t.
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Extreme value theory for stochastic processes.
Insurance: Mathematics and Economics, 1995This paper reviews Harald Cramer's work on extremes and crossings of stationary processes during the 1960's, and very briefly outlines some of the directions of later development of the probability...
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Leveraging Extreme Value Theory
2016In this chapter we propose to work within the extreme value theory framework. We suggest implementing a “block maxima” strategy to fit a generalised extreme value distribution on periodic maxima provided by risk managers. Here, we rely on risk managers expertise to assess the risks, and we transform the heterogeneous information provided into a ...
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Chapter IX: Extreme Value Theory
2020Predicting the typical order of minima or maxima is important in a number of applications. In agriculture, we may want to say something about the maximal content of a pesticide in a series of samples to check if the series passes the standards.
Søren Asmussen, Mogens Steffensen
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Extreme Value Theory for Observations
2020<p>We study the properties of recurrence of a smooth observable computed along a trajectory of a chaotic system near a particular value of interest .&#160; Using the framework of Extreme Value Theory, we are able to derive a limit law which is a Gumbel&#160; distribution whose parameters relate to the dimensions ...
Theophile caby +3 more
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