Searched for: subject:"Copula"
(1 - 14 of 14)
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van der Zee, Carina (author)
This thesis gathers, develops and evaluates several characterizations of multivariate tail dependence. It is established that the stable tail dependence function (STDF) is a suitable copula-based dependence function that fully captures the multivariate extremal dependence structure in all dimensions d≥2 and can be used to visualize the tail...
master thesis 2018
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Monclus Abadal, Albert (author)
Sandy barriers comprise 12% of coastlines around the world, and most of these barriers enclose tidal bays and lagoons. These systems accommodate human settlements vulnerable to climate change, which offer enough economic, social, and environmental utility to require further research on the impact of climate change and subsequent best management...
master thesis 2018
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Butter, Sjoerd (author)
Pipe laying projects are getting more challenging due to increasing operational depth of pipeline. The increasing depth requires more of the strength and load bearing capability of the pipeline and its girth welds. The assessment method used for checking the integrity of flaws in girth welds is called Engineering Critical Assessment (ECA) and is...
master thesis 2018
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Schouten, Thijs (author)
In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's model. These extreme log-returns are relevant for risk management applications such as Value-at-Risk and other measures of tail risk. We use extreme value theory to simulate economic variables with the desired tail behaviour. We pay special...
master thesis 2017
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Couasnon, A.A.O. (author)
Flooding is the most common and one of the most damaging natural hazards globally. It has severe societal, economic and environmental consequences. Damages from floods are expected to worsen with changing climate and increasing population andwealthworldwide. Within the last decades, advances in computational power and increases in the number of...
master thesis 2017
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De Nie, R.C. (author)
The increasing demand for electricity offers many opportunities for renewable energy production, of which one alternative is tidal stream energy. Several feasibility studies have shown that the global tidal stream energy potential can contribute significantly to producing renewable energy. This tidal energy can mostly be produced at the 'tidal...
master thesis 2016
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Pries, H. (author)
The financial crisis of $2008$-$2009$ has led to more strict regulatory supervisory on banks and insurance companies, focusing on better (market) risk models. The linear correlation models did not foresee the extreme losses in asset values, because they were not able to forecast high volatile markets in which the dependence between financial...
master thesis 2016
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Poelhekke, L. (author)
Recent and historic events have demonstrated the European vulnerability to coastal floods. Larger and more extreme events in Asia and the Americas have shown the devastating effects that these low-frequency high-impact floods can have. This thesis contributes to the development of an Early Warning System (EWS) for marine coastal hazards. The...
master thesis 2015
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Van der Meij, A.B. (author)
Dockwise started in 2008 with the OCTOPUS motion monitoring and captain decision support system for performance optimization and bad weather routing capacity. The OCTOPUS-Onboard system gathers weather and motion data, which is collected in the OCTOPUS database. This database includes the encountered weather data and the measured accelerations...
master thesis 2015
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Leontaris, G. (author)
During the past years a lot of attention has been drawn towards the development of renewables, due to the expected depletion of fossil fuels and political decisions. Offshore wind energy is considered as one of the most promising renewable energy sources, however the cost of offshore wind farms have not yet reached competitive levels. Hence...
master thesis 2015
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Borst, S.L.C. (author)
Two popular products on the interest rate market are Constant Maturity Swap (CMS) derivatives and CMS spread derivatives. This thesis focusses on the efficient pricing of CMS and CMS spread derivatives, in particular the pricing of CMS and CMS spread options. The notional values for these products are usually quite large, so even small errors...
master thesis 2014
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Van Tol, P.J.M. (author)
A couple of topics on calculating the required capital of an insurance company are covered in this thesis. We derive a new method in order to compare correlation matrices of aggregation methods consisting of one- or two-levels. Different from earlier time series analysis, we show that a prediction for the one-year correlation can be made with...
master thesis 2013
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Si, L. (author)
Traffic loads is an important factor in assessing the reliability of infrastructures. The gravity causes the pressure to the bridge deck when traffic pass by, which further leads to a hidden danger to bridge safety. Besides the prediction of traffic situation is valuable not only for bridge safety valuation, but also for travelers, since it can...
master thesis 2012
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Feng, Q. (author)
Aviation financers are interested in the current/future market value of used commercial aircraft, as this information is precious knowledge for them to support collateral position in the aircraft loan. In this paper, variables from general economy, airline industry and aviation fleet are explored to find out the factors predictive for used...
master thesis 2012
Searched for: subject:"Copula"
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