Bali, Turan G.; Theodossiou, Panayiotis - In: Journal of Risk & Insurance 75 (2008) 2, pp. 411-437
This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalized...
