Thursday, September 16, 2010

Extreme Value Theory

Given the extreme natural catastrophe and extraordinary financial events of recent years, there has been renewed interest in a branch of statistics known as Extreme Value Theory. An introduction and additional references may be found on Wikipedia at I will be presenting a seminar on this subject at next week's 2010 Casualty Reserve Seminar. The slides my be downloaded at the Sites of Interest page on my website at Extreme value theory is useful for assessing the risk of low probability events that can have catastrophic consequences but for which we don't have credible data.