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...

This paper deals with the estimation of dependence parameters in certain bivariate generalized Pareto models which are models for exceedances (peaks) over high thresholds. A unified approach is obtained by using canonical parameters. An estimator, which is related to a best linear unbiased...

Pickands coordinates were introduced as a crucial tool for the investigation of bivariate extreme value models. We extend their definition to arbitrary dimensions and, thus, we can generalize many known results for bivariate extreme value and generalized Pareto models to higher dimensions and...

Let (U,V) be a random vector with U[less-than-or-equals, slant]0, V[less-than-or-equals, slant]0. The random variables Z=V/(U+V), C=U+V are the Pickands coordinates of (U,V). They are a useful tool for the investigation of the tail behavior in bivariate peaks-over-threshold models in extreme...

Multivariate extreme value distribution functions (EVDs) with standard reverse exponential margins and the pertaining multivariate generalized Pareto distribution functions (GPDs) can be parametrized in terms of their Pickands dependence function D with D=1 representing tail independence....