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The Modelling of Extreme Events

Published online by Cambridge University Press:  10 June 2011

D. E. A. Sanders
D. E. A. Sanders
Affiliation:
Milliman Ltd, Finsbury Tower, 103-105 Bunhill Row, London EC1Y 8LZ, U.K. Tel: +44(0)20 7847 6186, Fax: +44(0)20 7847 6105; Email: david.sanders@milliman.com
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Abstract

The modelling of extreme events is becoming of increased importance to actuaries. This paper outlines the various theories. It outlines the consistent theory underlying many of the differing approaches and gives examples of the analysis of models. A review of non-standard extreme events is given, and issues of public policy are outlined.

Keywords

Extreme EventsExtreme Value TheoryGeneralised Pareto DistributionPower LawCat Models
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 11 , Issue 3 , 01 August 2005 , pp. 519 - 557
Copyright
Copyright © Institute and Faculty of Actuaries 2005

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