Extreme value theoryExtreme 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:
History of extreme value theory
- predicting extreme floods
- predicting the amounts of large insurance losses
- predicting equity risks
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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- Gumbel, E.J.(1958). Statistics of Extremes. Columbia University Press.