Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database

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A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, background): “…in modeling catastrophic risk; Koedijk et al. (1990), Longin (1996), Gabaix et al. (2003) for applications in general financial phenomena; Cebrián et al. (2003) for applications in insurance pricing; and Soprano et al. (2010), Chavez-Demoulin et al. (2015) for applications in risk…”
Nonlife Ratemaking and Risk Management with Bayesian Additive Models for Location, Scale and Shape (2013, methodology): “Here, we restrict the analysis to observations with total claim size less than exp(15) which corresponds to a threshold approximately equal to EUR 80,000 (or 3.2 millions Belgian francs) in the spirit of Cebrian et al. (2003).”
Composite Lognormal–Pareto model with random threshold (2011, methodology): “Extreme Value Theory and Generalized Pareto distributions (GPDs) can be used to set the value of this threshold, as described in Cebrian et al. (2003).”
Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution (2016, unknown): “MATHEMATICS SUBJECT CLASSIFICATION F; F; N; N”
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, background): “Cebrian et al. (2003) provides a number of examples of real data, analyzing SoA data among them.”