most citedA multivariate piecing-together approach with an application to operational loss data

17 citations · 17 across the 1 of their papers we have counts for

collaborators

1 paper

math.ST2012★ 17 cited

A multivariate piecing-together approach with an application to operational loss data

Stefan Aulbach, Verena Bayer, Michael Falk

The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We…