This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis

A python package for Extreme Value Analysis.

Find The Tail - Matlab

Repository for the paper: "Causal Modelling of Heavy-Tailed Variables and Confounders with Application to River Flow".

Code accompanying the paper "Human mortality at extreme age"

This paper develops methods to estimate the tail and full distribution of the lengths of the 0-intervals in a continuous time stationary ergodic stochastic process which takes the values 0 and 1 in alternating intervals. The methods are applied to the 100-car study, a big naturalistic driving experiment.