For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...

We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...