Sessional Research Event: Communicating Tail Dependencies

This paper examines two aspects of extreme events; their calculation and their communication. In relation to calculation, two types of extreme event are considered: the extent to which extreme events in two or more variables occur together, and the combinations of losses from a series of risks that together result in total losses exceeding a particular level. The communication of extreme events is discussed not only in terms of numbers but explores graphical methods that can be used to aggregate information on a range of risk combinations. This involves communicating not just the level of risk but also the importance of the risk considered.