/


Risk aggregation and Extreme Events [22]

Go to: Summary | Previous | Next   
Bullet points include: EVT seems very helpful Characterises limiting distributions very succinctly But required regularity conditions are potentially strong Relies on existence of a limiting distribution but this is not guaranteed At issue is potential unreliability of extrapolation

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile