How tall should one design an embankment so that the sea reaches this level only once in 100 years? How large might a possible stock market crash be tomorrow?
Many real life questions require estimation, but since no data or only few has been observed – as by
definition extreme events are rare – essential estimations are more often based on feeling than on
fact. Extreme Value Theory (EVT) is a branch of statistics that deals with such rare situations and
that gives a scientific alternative to pure guesswork.
Summary: EVT as well as any other model is only an abstraction of reality and not a silver bullet: no
science can replace experience, domain knowledge and human intuition.
I personally like the postscriptum of this whitepaper: Extremes can also be positive, they are the best and worst of life.