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Bayesian risk analysis of financial time series

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Millions of people engage in mountain sports activities worldwide. Although leisure-time physical activity is associated with significant health benefits, mountain sports activities also bear an inherent risk for injury and death. However, death risk may v ...

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Multilevel Monte Carlo Approximation of Functions

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Many applications across sciences and technologies require a careful quantification of nondeterministic effects to a system output, for example, when evaluating the system’s reliability or when gearing it towards more robust operation conditions. At the he ...

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The role of uncertainty in dam failure frequency estimates: a conceptual case study

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The return period of combinations of events that are relevant to dam risk analysis is very high. It falls in a range of hundreds to millions of years, but remains hard to quantify with precision. Deterministic approaches to dam safety assessment typically ...

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Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is ...

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Many applications across sciences and technologies require a careful quantification of non-deterministic effects to a system output, for example when evaluating the system's reliability or when gearing it towards more robust operation conditions. At the he ...

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Multi Level Monte Carlo Methods for Uncertainty Quantification and Robust Design Optimization in Aerodynamics

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Optimal Financial Decision Making Under Uncertainty

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We use a fairly general framework to analyze a rich variety of financial optimization models presented in the literature, with emphasis on contributions included in this volume and a related special issue of OR Spectrum. We do not aim at providing readers ...

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