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.
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