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Juwono, Adriano
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Computer Science & IT

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Extreme Value Theory: Modelling Catastrophic Losses In Sports Injury Juwono, Adriano
Proceedings of The International Conference on Data Science and Official Statistics Vol. 2025 No. 1 (2025): Proceedings of 2025 International Conference on Data Science and Official St
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/icdsos.v2025i1.736

Abstract

Using Extreme Value Theory with a peaks-over-threshold method, we modelled the top 2% of sports-injury losses from 200,000 simulated claims. A generalized Pareto fit via MLE yielded a positive shape (? = 0.783), indicating a fat tail where rare injuries dominate severity. Q–Q and P–P diagnostics show good agreement between model and data. The implied 100-year loss is round 3.31 billion (currency units), and TVaR confirms that conditional on approaching the tail, predicted losses increase quickly. These findings support need for capital buffer to mitigate costly injuries, severe-scenario stress testing, and pricing loadings that specifically consider for costly but rare injuries.
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