Chapter 5 Extreme value theory

5.1 Learning Objectives

1. Recognise extreme value distributions, suitable for modelling the distribution of severity of loss and their relationships.
2. Calculate various measures of tail weight and interpret the results to compare the tail weights.

5.2 Theory

TO ADD THEORY ABOUT EXTREME VALUE THEORY HERE

5.2.1 Extreme value distributions

5.2.2 Calcuating and interpreting tail weights

5.3 R Practice