Extreme Value Theory (EVT)

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Abstract

The pages that follow provide a brief introduction to Extreme Value Theory (EVT). EVT is a well-established branch of statistics that has been employed in insurance problems for many years but has only more recently been applied in the risk management field.

1.       Introduction

2.       Caveats

3.       Main Block maxima results and the Fisher-Tippett, Gnedenko theorem

4.       Block maxima results – examples of different limiting behaviour

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