Extreme weather events may cause severe damage to our society. Examples are hurricane Sandy in 2012 (the second costliest hurricane in United States history), European windstorms Lothar and Martin in 1999, and more recently, the exceptional sequence of floods in southern England in the winter of 2014. Insurance companies need to reserve sufficient capital to cover claims following an extreme weather event. Estimates of expected losses due to catastrophic events crucially depends on the tail width of the probability distribution describing the likelihood of extremes. Hence, understanding the typical tail behaviour of time series generated by climate models is a pressing challenge for the insurance industry and forecasting agencies.
The Johann Bernoulli Institute for Mathematics and Computer Science (JBI), based at University of Groningen, actively participates in current mathematical research on extreme events. The mission of the JBI is the cross-fertilisation by modelling of the disciplines mathematics and computer science both with other sciences and with the outside world. Here is their story…