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Asymptotic Probability Distribution Of Sample Maximum

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Author Info
Jana Kahounová
Abstract

Extreme value theory is the most scientific approach to an inherently difficult problem - predicting the possibility that an extreme event will occur. Broadly speaking, there are two kinds of models for extreme values. The first group of models are models for a distribution of normalized maximum (minimum) of the sequence of independent identically distributed random variables. The second, more modern, group of models are the peaks-over-threshold (POT) models. These are models for all large observations which exceed a threshold. This paper is concentrated on the first type of model. Here, the maximum loss of a bank caused by different technological accidents and natural disasters is treated.

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Publisher Info
Article provided by University of Economics, Prague in its journal Acta Oeconomica Pragensia.

Volume (Year): 2008 (2008)
Issue (Month): 3 ()
Pages: 40-46
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Handle: RePEc:prg:jnlaop:v:2008:y:2008:i:3:id:103:p:40-46

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Related research
Keywords: extreme value theory; Gumbel distribution; method of point estimation;

Find related papers by JEL classification:
C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models

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This page was last updated on 2009-11-19.

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