Franklin

Extreme and Systemic Risk Analysis : A Loss Distribution Approach / by Stefan Hochrainer-Stigler.

Author/Creator:
Hochrainer-Stigler, Stefan, author., Author,
Edition:
1st ed. 2020.
Publication:
Singapore : Springer Singapore : Imprint: Springer, 2020.
Series:
Earth and Environmental Science (Springer-11646)
Integrated Disaster Risk Management, 2509-7091
Integrated Disaster Risk Management, 2509-7091
Format/Description:
Book
1 online resource (XI, 156 pages) : 54 illustrations, 24 illustrations in color.
Subjects:
Natural disasters.
Statistics.
Local subjects:
Natural Hazards. (search)
Applied Statistics. (search)
System Details:
text file PDF
Summary:
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.
Contents:
Introduction
Individual and Extreme Risk
Systemic Risk and Dependencies
Application. .
Contributor:
SpringerLink (Online service)
Contained In:
Springer eBooks
Other format:
Printed edition:
Printed edition:
Printed edition:
ISBN:
978-981-15-2689-3
9789811526893
Publisher Number:
10.1007/978-981-15-2689-3 doi
Access Restriction:
Restricted for use by site license.
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