A1234
Title: Estimation of probabilities associated with failure sets
Authors: Laurens de Haan - Eurasmus University Rotterdam and University of Lisbon (Netherlands)
Ana Ferreira - IST-ID (Portugal) [presenting]
Abstract: Frequently, one is faced with the occurrence of events that combine several variables taking extreme values. This happens in climatic events, with e.g., a combination of strong winds and high temperatures, and financial markets with portfolios combining several assets and/or stock indices. The estimation of the occurrence of such failure sets is theoretically demanding. The theory is revisited to make it more tractable for applications. The problem is reviewed from theoretical and practical viewpoints.
