Brazauskas, Vytaras; Kleefeld, Andreas - In: Insurance: Mathematics and Economics 45 (2009) 3, pp. 424-435
Due to advances in extreme value theory, the generalized Pareto distribution (GPD) emerged as a natural family for modeling exceedances over a high threshold. Its importance in applications (e.g., insurance, finance, economics, engineering and numerous other fields) can hardly be overstated...