Projektnummer

0057834

Zusammenfassung

In a seamless extension of the project 'Robust Risk Estimation' a focus is put on multivariate aspects and dynamics of extreme events. In all reference applications, i.e. in financial risks of a bank, public health (hospital length of stay and costs), and hydrology (river discharge), there are important questions where these aspects cannot be ignored. With thin empirical evidence available, misspecification becomes a central issue in the corresponding applications. As a remedy to some extent, the robust procedures will be enhanced applying robust likelihood techniques in order to adjus...