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I was told about the Gertensgabe and Werner plot to assess the optimal threshold for a GPD model. However, I did not found neither any R package nor code to implement this. Does anybody have some code to implement it?

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What does this plot do? Where did you hear about it? Googling brought up nothing at all. What is a GPD model? – Peter Flom Oct 30 '12 at 21:42
Generalized Pareto Fit To The Society Of Actuaries’ Large Claims Database North American Actuarial Journal Pg 18 – Giorgio Spedicato Oct 30 '12 at 21:43
Thanks for the reference. – Peter Flom Oct 30 '12 at 21:52

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