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Integrated Disaster Risk Management

Extreme and Systemic Risk Analysis

A Loss Distribution Approach

Authors: Hochrainer-Stigler, Stefan

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  • 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
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eBook £87.50
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  • ISBN 978-981-15-2689-3
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Hardcover £109.99
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  • ISBN 978-981-15-2688-6
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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.


About the authors

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.


Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook £87.50
price for United Kingdom (gross)
  • ISBN 978-981-15-2689-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover £109.99
price for United Kingdom (gross)
  • ISBN 978-981-15-2688-6
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Extreme and Systemic Risk Analysis
Book Subtitle
A Loss Distribution Approach
Authors
Series Title
Integrated Disaster Risk Management
Copyright
2020
Publisher
Springer Singapore
Copyright Holder
Springer Nature Singapore Pte Ltd.
eBook ISBN
978-981-15-2689-3
DOI
10.1007/978-981-15-2689-3
Hardcover ISBN
978-981-15-2688-6
Series ISSN
2509-7091
Edition Number
1
Number of Pages
XI, 156
Number of Illustrations
30 b/w illustrations, 24 illustrations in colour
Topics

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