Thursday, September 16, 2010
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 http://en.wikipedia.org/wiki/Extreme_value_theory. 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 http://www.rabsolutions.net/id5.html. 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.