Extreme value theory

Extreme value theory

Extreme value theory is a branch of statistics dealing with the extreme deviations from the mean of probability distributions. Extreme value theory is important for assessing risk for highly unusual events, such as 100-year floods.

Applications of extreme value theory:

predicting extreme floods
predicting the amounts of large insurance losses
predicting equity risks

History of extreme value theory

Founded by the German mathematician, pacifist, and anti-Nazi campaigner Emil Julius Gumbel who described the Gumbel distribution in the 1950s.

-- please write more about this subject

References:

Gumbel, E.J.(1958). Statistics of Extremes. Columbia University Press.

See also:

hydrogeology, meteorology, extreme weather

External links

Easy non-mathematical introduction

Extreme value theory group at Chalmers University

The Extreme Value Approach to VaR ? An Introduction

Extreme Value Theory for Tail-Related Risk Measures

Extreme value theory an empirical analysis of equity risk

http://www.itl.nist.gov/div898/handbook/apr/section1/apr163.htm

Wikipedia - All text is available under the terms of the GNU Free Documentation License.

Tagoror dot com - Legal Information - Contact us