scholarly journals An Extreme Value Theory approach to estimate crash risk during mandatory lane-changing in a connected environment

Author(s):  
Yasir Ali ◽  
Mazharul Haque ◽  
Zuduo Zheng
Entropy ◽  
2020 ◽  
Vol 22 (12) ◽  
pp. 1425
Author(s):  
Miloš Božović

This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting ability is tested on a portfolio of U.S. stocks. The in-sample goodness-of-fit tests indicate that the proposed approach is better suited for portfolio risk modeling under extreme market movements than comparable multivariate parametric methods. Backtesting across multiple quantiles demonstrates that the model cannot be rejected at any reasonable level of significance, even when periods of stress are included. Numerical simulations corroborate the empirical results.


2019 ◽  
Vol 99 (2) ◽  
Author(s):  
Nicolas Ponthus ◽  
Julien Scheibert ◽  
Kjetil Thøgersen ◽  
Anders Malthe-Sørenssen ◽  
Joël Perret-Liaudet

2016 ◽  
Vol 27 (5) ◽  
pp. 1498-1512 ◽  
Author(s):  
Y Chiu ◽  
F Chebana ◽  
B Abdous ◽  
D Bélanger ◽  
P Gosselin

Hospitalizations and deaths belong to the most studied health variables in public health. Those variables are usually analyzed through mean events and trends, based on the whole dataset. However, this approach is not appropriate to comprehend health outcome peaks which are unusual events that strongly impact the health care network (e.g. overflow in hospital emergency rooms). Peaks can also be of interest in etiological research, for instance when analyzing relationships with extreme exposures (meteorological conditions, air pollution, social stress, etc.). Therefore, this paper aims at modeling health variables exclusively through the peaks, which is rarely done except over short periods. Establishing a rigorous and general methodology to identify peaks is another goal of this study. To this end, the extreme value theory appears adequate with statistical tools for selecting and modeling peaks. Selection and analysis for deaths and hospitalizations peaks using extreme value theory have not been applied in public health yet. Therefore, this study also has an exploratory goal. A declustering procedure is applied to the raw data in order to meet extreme value theory requirements. The application is done on hospitalization and death peaks for cardiovascular diseases, in the Montreal and Quebec metropolitan communities (Canada) for the period 1981–2011. The peak return levels are obtained from the modeling and can be useful in hospital management or planning future capacity needs for health care facilities, for example. This paper focuses on one class of diseases in two cities, but the methodology can be applied to any other health peaks series anywhere, as it is data driven.


2019 ◽  
Vol 37 ◽  
pp. 195-202 ◽  
Author(s):  
Gregorio Gecchele ◽  
Federico Orsini ◽  
Massimiliano Gastaldi ◽  
Riccardo Rossi

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