Extreme Value Theory: an introductory overview
Isabel Fraga Alves – University of Lisbon
This talk is intended to be an introduction to the most important results in Extreme Value Theory (EVT) and to give a flavour of how they can be applied in practice. The target readership is constituted by students and practitioners who may wish to get acquaintance with EVT. Relying on well founded theory, on which parametric or semiparametric statistical models are built for handling with rare events, EVT is the theorical framework for modeling events which occur with a very small probability. The typical question we would like to answer is
“If things go wrong, how wrong can they go?”
which in a certain sense is the mitigation attitude to Murphy’s law
“If anything can go wrong, it will!”
In fact, the statistical analysis of extremes is the key step in the study of many risk management problems related not only to insurance, reinsurance, and finance in general, but also in other fields as geophysics and environment, where the analysis of extremes is of primordial importance.
