Implementasi Metode Extreme Value Theory untuk Menghitung Maksimal Kerugian Akibat Bencana Alam

Feby Indriana Yusuf; Kevina Alal A’la; Bella Cindy Thalita

doi:10.37905/jjom.v8i1.35193

Implementasi Metode Extreme Value Theory untuk Menghitung Maksimal Kerugian Akibat Bencana Alam

Feby Indriana Yusuf, Kevina Alal A’la, Bella Cindy Thalita

Abstract

This study employs Extreme Value Theory (EVT) using the Block Maxima (BM) approach and the Generalized Extreme Value (GEV) distribution to model and estimate the potential maximum financial losses caused by natural disasters in Central Java, Indonesia. Historical loss data from 2022 are utilized to calibrate GEV distribution parameters, followed by Monte Carlo simulations to project risks over a 12-year horizon. The results reveal that the data exhibit heavy-tailed characteristics (indicated by a positive shape parameter), signaling significant extreme risks. Goodness-of-fit tests, specifically Kolmogorov-Smirnov and Anderson-Darling, confirm the validity of the GEV model. Return level analysis indicates a sharp escalation in risk; for a 100-year return period, potential losses reach a substantial magnitude. These findings contribute methodologically to regional fiscal risk estimation and underscore the necessity of precise financial mitigation instruments.

Keywords

Block Maxima; Disaster Loss; Extreme Value Theory; GEV Distribution; Return Level

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DOI: https://doi.org/10.37905/jjom.v8i1.35193