Modelling the clustering of extreme events for short-term risk assessment

@inproceedings{Towe2019ModellingTC,
  title={Modelling the clustering of extreme events for short-term risk assessment},
  author={Ross Paul Towe and Jonathan A. Tawn and Emma F. Eastoe and Rob Lamb},
  year={2019}
}
Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period, i.e., the expected waiting time between events of the observed size if the extreme events of the processes are independent and identically distributed. A major limitation with this measure is when an unexpectedly high number of events occur within the next few… CONTINUE READING