Enterprise Risk Management Slides

Risk aggregation and Extreme Events [21]

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Bullet points include: Let Fu be defined as follows: Then under same hypotheses as applied to block maxima we have: Where G(z) has the form: Here has the same type of meaning as before, e.g. G(z), which is the generalised Pareto distribution with parameters , is in the maximum domain of attraction of H()

Bullet points include: Let Fu be defined as follows: Then under same hypotheses as applied to block maxima we have: Where G(z) has the form: Here has the same type of meaning as before, e.g. G(z), which is the generalised Pareto distribution with parameters , is in the maximum domain of attraction of H()

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