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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:

AN ABSTRACT OF THE DISSERTATION OF John B. Henry III for the degree