Extreme Events and Extreme Value Theory (EVT) [34]

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Bullet points include: Analysis of individual claim sizes. How are individual claims distributed rather than aggregate loss across entire book? May influence type of reinsurance cover sought (i.e. if the chosen strategy is to transfer the risk away, exactly how this might be implemented). Behaviour of quantiles against time. Does the data look as if it exhibits time stationarity? Quantiles against number of claims. Are individual components of model credible?

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