Overview
- Describes how extreme and systemic risk can be analyzed in an integrated way
- Reports 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
- Presents about techniques that are guided with examples and applications with a special focus on natural disaster events
Part of the book series: Integrated Disaster Risk Management (IDRM)
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Table of contents (5 chapters)
Keywords
About this book
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.
Authors and Affiliations
About the author
Stefan Hochrainer-Stigler is a senior research scholar at the International Institute for Applied System Analysis (IIASA) in Laxenburg, Austria. He is a member of the board of directors of the Integrated Disaster Risk Management (IDRiM) Society and is on the advisory board of the Global Alliance of Disaster Research Institutes (GADRI). His main research interests include risk analysis of extreme and systemic risk, modeling of rare events, extreme value theory and econometrics, as well as multivariate analysis and probability theory.
Bibliographic Information
Book Title: Extreme and Systemic Risk Analysis
Book Subtitle: A Loss Distribution Approach
Authors: Stefan Hochrainer-Stigler
Series Title: Integrated Disaster Risk Management
DOI: https://doi.org/10.1007/978-981-15-2689-3
Publisher: Springer Singapore
eBook Packages: Earth and Environmental Science, Earth and Environmental Science (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2020
Hardcover ISBN: 978-981-15-2688-6Published: 07 April 2020
Softcover ISBN: 978-981-15-2691-6Published: 07 April 2021
eBook ISBN: 978-981-15-2689-3Published: 06 April 2020
Series ISSN: 2509-7091
Series E-ISSN: 2509-7105
Edition Number: 1
Number of Pages: XI, 156
Number of Illustrations: 30 b/w illustrations, 24 illustrations in colour
Topics: Natural Hazards, Applied Statistics