Risk aggregation and Extreme Events [18]

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Bullet points include: Suppose that x1, x2, ..., xn, ... are independent random variables possessing same cumulative distribution function, F, and that there exist sequences an and bn such that the following tends in distributional form to G, a non-degenerate probability distribution from which random variable y is drawn Then G is one of three types (but note quotation conventions vary) Gumbel: Fr├ęchet: Weibull:

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