Extreme value theory

Extreme value theory is a branch of statistics dealing with the extreme
deviations from the mean of probability distributions. Extreme value theory
is important for assessing risk for highly unusual events, such as 100-year floods.

Applications of extreme value theory:

   * predicting extreme floods
   * predicting the amounts of large insurance losses
   * predicting equity risks

History of extreme value theory

Founded by the German mathematician, pacifist, and anti-Nazi campaigner Emil
Julius Gumbel who described the Gumbel distribution in the 1950s.