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Velthoen, J.J. (author), Dombry, Clément (author), Cai, Juan Juan (author), Engelke, Sebastian (author)Extreme quantile regression provides estimates of conditional quantiles outside the range of the data. Classical quantile regression performs poorly in such cases since data in the tail region are too scarce. Extreme value theory is used for extrapolation beyond the range of observed values and estimation of conditional extreme quantiles....journal article 2023
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Bi, Haoran (author)Extreme precipitation can often cause serious hazards such as flooding and landslide. Both pose a threat to human lives and lead to substantial economic loss. It is crucial to develop a reliable weather forecasting system that can predict such extreme events to mitigate the effect of heavy precipitation and increase resilience to these hazards....master thesis 2022
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Velthoen, J.J. (author)In this thesis we develop several statistical methods to estimate high conditional quantiles to use for statistical postprocessing of weather forecasts. We propose methodologies that combine theory from extreme value statistics and machine learning algorithms in order to estimate high conditional quantiles in large covariate spaces. In...doctoral thesis 2022
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Cheng, D. (author)This dissertation collects three scientific contributions, already published in international peerreviewed journals, plus some extra considerations and workinprogress. First, we present a model based on reinforced urn processes, which conjugates to the rightcensored recovery process, and empirically apply it to the time series of recovery...doctoral thesis 2022
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Montana, J Rhet (author)By sampling financial correlation matrices over sliding windows, it has been shown in recent work that the quantum majorization induced partial ordering on this space of correlation matrices known as the "quantum Lorenz ordering" (QLO) can be used to characterize systemic risk by clustering correlation matrices according to their degree...master thesis 2021
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Borsos, Attila (author), Farah, H. (author), Laureshyn, Aliaksei (author), Hagenzieker, M.P. (author)In order to overcome the shortcomings of crash data a number of surrogate measures of safety have been developed and proposed by various researchers. One of the most widely used temporal indicators is timetocollision (TTC) which requires the road users to be on a collision course. Road users that are strictly speaking not on a collision...journal article 2020
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Maas, Youri (author)In this thesis we are going to study outlier detection methods and propose a new method. Classical outlier detection is typically based on the assumption that the data is from a Gaussian/normal distribution. When the underlying distribution of a random sample is heavy tailed, so not normal , it is likely to have some extreme observations which...bachelor thesis 2019
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Borsos, Attila (author)The most common way to evaluate traffic safety is investigating the occurrence and severity of crashes using historical data. This approach however has a number of limitations, the most important of which is probably its reactive nature. An alternative method using noncrash events has gained a lot of attention recently, especially thanks to the...master thesis 2019
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Dijkshoorn, Michel (author)In this thesis the theory of depth functions is researched. Depth functions are functions that measure data depth and order multivariate observations. Two depth functions are discussed: the halfspace and simplicial depth function. The halfspace depth of a point is defined as the smallest probability for which a closed halfspace contains that...bachelor thesis 2019
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Fischmann, Felipe (author)Fluvial flooding is a recurring phenomenon in Rwanda due to a combination of climate, topography and human interventions. This poses a hazard to human lives and infrastructure, particularly in lowlying areas adjacent to major rivers. An example of such areas is the Masaka wetland, located in the southern edge of the capital Kigali along the...master thesis 2018
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Leeuwestein, Linda (author)In this research, the returns of four cryptocurrencies (Bitcoin, Litecoin, Ripple and Ethereum) were analyzed in order to answer the following research question: “How do the returns of Bitcoin and other altcoins behave over time, and what can we say about extreme values for losses and profits?” With respect to volatility, cryptocurrencies can...bachelor thesis 2018
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DeMarco, Adam (author), Basu, S. (author)We analyzed several multiyear wind speed datasets from 4 different geographical locations. The probability density functions of wind ramps from all these sites revealed remarkably similar shapes. The tails of the probability density functions are much heavier than a Gaussian distribution, and they also systematically depend on time increments....journal article 2018
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Hoek, Jasper (author)Tropical Cyclones (TCs) are in many regions responsible for severe damages and a great number of casualties, resulting from the severe wind speeds, rainfall, wave heights and storm surges. The recent hurricanes Harvey and Irma are examples of the great devastation that can be caused by a single event, and of the insufficient level of...master thesis 2017
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Schouten, Thijs (author)In this thesis we model extreme logreturns on economic variables and apply this to Ortec Finance's model. These extreme logreturns are relevant for risk management applications such as ValueatRisk 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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van den Hoogen, Sofie (author)Intraday liquidity risk is a subject that applies to all banks, and arises whenever there is a timing mismatch between incoming and outgoing payments within a business day. In case such a mismatch occurs, the bank is exposed to the risk that it is unable to meet its payment obligations at the time expected. A liquidity buffer could help to...master thesis 2017
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 Willems, T. (author) master thesis 2016
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Velthoen, J.J. (author)The estimation of extreme quantile curves of a family of conditional distributions is a nontrivial problem, due to the datasparseness in the tail of the distribution. This thesis considers the problem of postprocessing extreme precipitation forecasts in Friesland from the numerical weather prediction model HARMONIE. Assuming forecasts are...master thesis 2016
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Kirana, M. (author)How disastrous would it be if a flood occurred in your country? Or a Tsunami, earthquake etc... The events above are considered to be 'extreme'. When such phenomena happen the results are usually very destructive, but the probability that such an extreme event occurs is of course very small and might not even occur in an entire lifetime. The...bachelor thesis 2016
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De Bruyn, N. (author)In the design of mooring systems, it is a common practice to use a 100year design environment to calculate extreme responses. Statistical inference is executed on the environmental data to produce a 100year environment. This 100year environment is then simulated to calculate the loads that occur when the vessel is under the influence of the...master thesis 2016
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Evers, G.A. (author)A dike is designed for an extreme event which greatly exceed the situation under daily circumstances. The expected loading during such an event is, however, difficult to estimate. Inherent uncertainties in nature and epistemic uncertainties in models and statistical data impede a clear verdict about the exact loading on a dike. Consequently,...master thesis 2015
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