The World Beyond Normal (Gaussian): An overview of Extreme Value Theory

Abstract:  The early decades of the 21st century, marked by events such as SARS, the 2004 tsunami, the Fukushima nuclear disaster, the financial crisis, the COVID-19 pandemic, climate change, and cyberattacks, have amplified the sense that we live in a world increasingly prone to frequent and severe extreme events. Objective evidence supports the evolving risk landscape. These two lectures aim to provide insights into the perception and modeling of extreme risks, with a brief exploration of Extreme Value Theory. We will also highlight a few relevant research questions, and some recent tools designed to better understand and manage the complexity of these extreme risks.