A general expression for the statistical distribution of the probability of the highest event occurring in a record is presented. This result can be empirically applied to situations where records are available for multiple geographical locations. The empirical estimation of the probability of the highest events provides a means to assess whether the assumed (extreme value) distribution is appropriate for extrapolation or not. The approach allows for combining the highest events from different records and to validate estimated return periods in the order of the length of the combined records. The method is illustrated with an analysis of the annual extreme wind speeds over the North Atlantic area according to the ERA40 dataset, showing that the Gumbel distribution is in favor of the GEV distribution to describe the (appropriately transformed) extreme wind speeds up to return periods of 104 years.