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Quantifying Extreme Risks

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Risk - A Multidisciplinary Introduction

Abstract

Understanding and managing risks caused by extreme events is one of the most demanding problems of our society. We consider this topic from a statistical point of view and present some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of an extreme event there will never be enough data to predict a future risk in the classical statistical sense. However, a rather clever probabilistic theory provides us with model classes relevant for the assessment of extreme events. Moreover, specific statistical methods allow for the prediction of rare events, even outside the range of previous observations. We will present the basic theory and relevant examples from climatology (climate change), insurance (return periods of large claims) and finance (portfolio losses and Value-at-Risk estimation).

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Author information

Authors and Affiliations

  1. Institute of Stochastics, Department of Mathematics, Karlsruhe Institute of Technology, Kaiserstr. 89, 76133, Karlsruhe, Germany

    Vicky Fasen

  2. Chair of Mathematical Statistics, Center for Mathematical Sciences, Technische Universität München, Boltzmannstr. 3, 85748, Garching bei München, Germany

    Claudia Klüppelberg

  3. Chair of Ecoclimatology, Center of Life and Food Sciences Weihenstephan, Technische Universität München, Hans-Carl-von-Carlowitz-Platz 2, 85354, Freising-Weihenstephan, Germany

    Annette Menzel

Authors
  1. Vicky Fasen
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  2. Claudia Klüppelberg
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  3. Annette Menzel
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Corresponding author

Correspondence to Claudia Klüppelberg .

Editor information

Editors and Affiliations

  1. Department of Mathematics, Munich University of Technology, Munich, Germany

    Claudia Klüppelberg

  2. Faculty of Civil, Geo and Environmental Engineering, Munich University of Technology, Munich, Germany

    Daniel Straub

  3. TUM School of Management, Munich University of Technology, Munich, Germany

    Isabell M. Welpe

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Fasen, V., Klüppelberg, C., Menzel, A. (2014). Quantifying Extreme Risks. In: Klüppelberg, C., Straub, D., Welpe, I. (eds) Risk - A Multidisciplinary Introduction. Springer, Cham. https://doi.org/10.1007/978-3-319-04486-6_6

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