Quantifying of Extreme Events

Vicky Fasen Claudia Kluppelberg Annette Menzel

September 28, 2011

abstract / summary

Understanding and managing risks due extreme events is one of the most demanding topics of our society. We consider this problem as a statistical problem and present some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of an extreme event there will never be enough data to predict a future risk in the classical statistical sense. However, a rather clever probabilistic theory provides us with model classes relevant for extreme events. Moreover, specific statistical methods allow for the
prediction of the occurrence of rare events, even outside the range of available data. We will present the basic theory and three relevant examples from climatology, insurance and finance.

http://www.math.ethz.ch/~vfasen/risk110928b.pdf

PLEASE NOTE THIS IS A FINE (ACCESSIBLE) PAPER IMHO