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Filtering by: Committee Member Kovchegov, Yevgeniy Academic Affiliation General Science

Extreme value index estimation with applications to modeling extreme insurance losses and sea surface temperatures

Creator:

Henry, John B.

Abstract:

The extreme value index (EVI) links the generalized extreme value (GEV) distribution and the generalized Pareto (GP) distribution. These two distributions are fundamental in extreme value theory (EVT), with the GEV distribution being the only possible non-degenerate limiting distribution of properly normalized maxima of iid random variables, and the GP...

Resource Type:

Dissertation

Full Text:

paper. Thank you to Ted Strub for his patience and advise, and to Lisa Madsen, Alix Gitelman, Yevgeniy