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Approximation of the distribution of excesses using a generalized probability weighted moment method

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DOI: 10.1016/j.crma.2005.01.017
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Approximation of the distribution of excesses through a generalized probability-weighted moments method

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Journal of Statistical Planning and Inference 137 (3) 841 (2007)
DOI: 10.1016/j.jspi.2006.06.012
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Asymptotic behaviour of the probability-weighted moments and penultimate approximation

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EVT-based estimation of risk capital and convergence of high quantiles

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Advances in Applied Probability 40 (3) 696 (2008)
DOI: 10.1239/aap/1222868182
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Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles

Clément Albert, Anne Dutfoy and Stéphane Girard
Extremes 23 (2) 349 (2020)
DOI: 10.1007/s10687-019-00370-2
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