Extreme Value Theory Python Packages

powerlawrs

A fast Python library for analyzing Power-Law distributions in empirical data built on Rust.

extremeloss

Extreme-value tail-risk estimation in Python: peaks-over-threshold, GPD fitting, rare-event analysis, and large-claim loading.

tailestim

Estimate tail parameters of heavy-tailed distributions (including power law exponent gamma) in Python

insurance-severity

Insurance severity modelling: composite models, DRN, EVT, MDN, SPQRx, tail scoring, CMRS allocation, Projection-to-Ultimate, and AIPW IBNR reserving

fitdistcp

Python package for fitting statistical models using calibrating priors.

tsrbench

EVT-based noise injection toolkit for evaluating time series forecasting robustness

scikit-extremes

A specialized Python library for sparse multivariate extreme value analysis, structure learning, and robust spectral measure estimation using extremal graphical models.