This is statistically neat, but I’d recommend Taleb’s Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications—the most extreme cases are in practice always those for which you assumed the wrong distribution! e.g. there are many cases where a system spends most of it’s time in a regime characterized by a normal distribution, and then rarely a different mechanism in the underlying dynamics shifts the whole thing wildly out of that—famously including the blowup of Long Term Capital Management after just four years.
This is statistically neat, but I’d recommend Taleb’s Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications—the most extreme cases are in practice always those for which you assumed the wrong distribution! e.g. there are many cases where a system spends most of it’s time in a regime characterized by a normal distribution, and then rarely a different mechanism in the underlying dynamics shifts the whole thing wildly out of that—famously including the blowup of Long Term Capital Management after just four years.