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  • Fisher-Tippett: the three laws of the maximum
  • Peaks over threshold: Pickands-Balkema-de Haan
  • Extreme value theory

Extreme value theory#

The laws of maxima and of exceedances over high thresholds, and the tail risk figures they extrapolate.

Fisher-Tippett: the three laws of the maximum

Fisher-Tippett: the three laws of the maximum

Peaks over threshold: Pickands-Balkema-de Haan

Peaks over threshold: Pickands-Balkema-de Haan
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