Detecting tail behavior: mean excess plots with confidence bounds

Weak limits for exploratory plots in the analysis of extremes

(2013) Bikramjit Das et al.   BERNOULLI

Four theorems and a financial crisis

(2012) Bikramjit Das et al.   INTERNATIONAL JOURNAL OF APPROXIMATE REASONING

Extreme value analysis of actuarial risks: estimation and model validation

(2011) Holger Drees   AStA-Advances in Statistical Analysis

The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis

(2010) Catherine Donnelly et al.   Astin Bulletin

A discussion on mean excess plots

(2010) Souvik Ghosh et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Weak convergence of the tail empirical process for dependent sequences

(2008) Holger Rootzén   STOCHASTIC PROCESSES AND THEIR APPLICATIONS