JSM 2004 - Toronto

Abstract #300204

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Activity Number: 141
Type: Invited
Date/Time: Monday, August 9, 2004 : 2:00 PM to 3:50 PM
Sponsor: General Methodology
Abstract - #300204
Title: A Statistics of Extremes Approach to the Monitoring of Multiple Risk Indicators
Author(s): John H.J. Einmahl*+
Companies: Tilburg University
Address: Dept. of Econometrics and OR, 5045 XG Tilburg, International, , The Netherlands
Keywords: extremes ; risk ; quantile ; aviation safety
Abstract:

In risk assessment one often deals with extreme settings with very few or no occurrences in reality. Inferences about risk indicators for this type of occurrences face the problem of insufficient data. The methodology of statistics of extremes is particularly suitable for this problem. We will discuss the general theory of statistics of extremes and apply it to deriving thresholds for flagging extreme risks. Two aviation risk indicators for monitoring the performance of air carriers will be used to demonstrate our approach. From the performance measures of the carriers, we use statistics of extremes to devise a threshold system which divides the sample space into regions with increasing levels of risk. These regions, for example, are referred to as "expected," "warning," and "unacceptable" in aviation safety analysis. We discuss in detail the construction of thresholds for monitoring multiple risk indicators, the properties for the regions devised from the thresholds, and the application of such thresholds to a real dataset.

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