Journal of Operational Risk

Risk.net

Applications of exact extreme value theorem

Mikhail Makarov

ABSTRACT

In this paper we prove that it is sufficient to use Pareto distribution to approximate the tail of a slowly varying heavy-tailed distribution. Several applications of the results are considered.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: