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The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions

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2017Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework46 cited
2002Ruin theory revisited: stochastic models for operational risk44 cited
2006Sources of uncertainty in modeling operational risk losses42 cited
2011A quantile estimation for massive data with generalized Pareto distribution36 cited
2007Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons25 cited

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2009Multiple tail median approach for high reliability estimation23 cited

2020Statistics of catastrophic hazardous liquid pipeline accidents22 cited

2014Recommendations for the tuning of rare event probability estimators10 cited