Robust Risk Estimation
- Wasser - Atmosphäre - Umwelt
Abstract
We aim at theoretical foundation, development and application of robust procedures for risk management of complex systems in the presence of extreme events; i.e., identification, quantification, prediction and control of these risks. As reference application examples we focus on operational risk of a bank, unit length of stay and cost in intensive care of a university clinic, and river discharge data of Austrian rivers. In suitable parametric models for these contexts, the goal is to adapt the robustness approach based on shrinking neighborhoods to determine optimally-robust estimators minimizing the maximal asymptotic risk (=expected loss) on neighborhoods about the ideal model and at the same time with a high breakdown point. In addition, we are going to develop corresponding diagnostic tools to quantify and visualize the influence and outlyingness of data.
Project staff
Bernhard Spangl
Dipl.-Ing. Dr. Bernhard Spangl
bernhard.spangl@boku.ac.at
Tel: +43 1 47654-85113
BOKU Project Leader
01.07.2011 - 28.02.2015
Gregor Laaha
Assoc. Prof. Priv.-Doz. Dipl.-Ing. Dr.techn. Gregor Laaha
gregor.laaha@boku.ac.at
Tel: +43 1 47654-85101, 85116
Project Staff
01.07.2011 - 28.02.2015
BOKU partners
External partners
University of Kaiserslautern
Prof. Dr. Ralf Korn
partner
Furtwangen University
Prof. Dr. Matthias Kohl
partner
Fraunhofer Institute for Industrial Mathematics ITWM, Kaiserslautern
Dr. habil. Peter Ruckdeschel
partner