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Risk aggregation and Extreme Events [23]

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Bullet points include: E.g. Consider a direct fit of a Generalised Pareto distribution Assuming limiting distribution is the Fréchet distribution (so, exhibits fat tails) Thus use approximation: Problem of estimating F and its (tail) quantiles then reduces to problem of estimating for the approximating generalised Pareto distribution Can be done using maximum likelihood (ML) estimation, c.f. Hill estimator techniques

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