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Analysis of extreme events [32]

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Bullet points include: Assume that X1, X2, ..., Xn, ... are now multivariate independent random variables with a joint distribution function F and marginal distribution functions F1, …, Fd (d = dimension of random variable, e.g. losses of d different types).Define maximum of j’th component to be Mn,j = max(X1,j,…,Xn,j) where j=1,…,d We assume that there exist (now multi-dimensional) sequences An and Bn such that the following tends in distributional form to F, a non-degenerate probability distribution from which r.v. Y is drawn Arithmetic operators here assumed to be componentwise operators

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