K. Aas, C. Czado, A. Frigessi, and H. Bakken, Pair-copula constructions of multiple dependence, Insurance: Mathematics and Economics, vol.44, issue.2, pp.182-198, 2009.
DOI : 10.1016/j.insmatheco.2007.02.001

P. Artzner, F. Delbaen, J. Eber, and D. Heath, Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999.
DOI : 10.1111/1467-9965.00068

E. C. Brechmann, C. Czado, and K. Aas, Truncated regular vines in high dimensions with application to financial data, Canadian Journal of Statistics, vol.57, issue.2, 2010.
DOI : 10.1002/cjs.10141

T. Buch-kroman, Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution, The Journal of Operational Risk, vol.4, issue.2, 2009.
DOI : 10.21314/JOP.2009.058

J. Danielsson, L. De-haan, L. Peng, and C. G. De-vries, Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation, Journal of Multivariate Analysis, vol.76, issue.2, pp.226-248, 2001.
DOI : 10.1006/jmva.2000.1903

P. Embrechts, C. Klüppelberg, and T. Mikosh, Modelling of extremal events in insurance and finance, ZOR Zeitschrift f???r Operations Research Mathematical Methods of Operations Research, vol.73, issue.1, 1997.
DOI : 10.1007/BF01440733

A. Frachot, P. Georges, and T. Roncalli, Loss Distribution Approach for Operational Risk, SSRN Electronic Journal, 2001.
DOI : 10.2139/ssrn.1032523

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.636.8805

D. Guégan and B. K. Hassani, A modified Panjer algorithm for operational risk capital calculations, The Journal of Operational Risk, vol.4, issue.4, pp.53-72, 2009.
DOI : 10.21314/JOP.2009.068

D. Guégan and B. K. Hassani, n-dimensional copula contributions to multivariate operational risk capital computations. Working Paper, pp.96-00587706, 2010.

D. Guégan, B. K. Hassani, and C. Naud, A efficient peak-over-threshold implementation for operational risk capital computation, Journal of Operational Risk, vol.6, pp.1-17, 2011.

D. Guégan and P. Maugis, New prospects on vines. Insurance Markets and Companies: Analyses and Actuarial Computations, pp.4-11, 2010.

A. K. Gupta and S. Nadarajah, Handbook of Beta Distribution and Its Applications, 2004.

P. Hall, Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems, Journal of Multivariate Analysis, vol.32, issue.2, pp.177-203, 1990.
DOI : 10.1016/0047-259X(90)90080-2

B. M. Hill, A Simple General Approach to Inference About the Tail of a Distribution, The Annals of Statistics, vol.3, issue.5, pp.1163-1174, 1975.
DOI : 10.1214/aos/1176343247

D. C. Hoaglin, Summarizing Shape Numerically: The g-and-h Distributions, pp.461-513, 1985.
DOI : 10.1002/9781118150702.ch11

M. R. Leadbetter and H. Rootzen, Extremal Theory for Stochastic Processes, The Annals of Probability, vol.16, issue.2, pp.431-478, 1988.
DOI : 10.1214/aop/1176991767

A. Luceno, Fitting the generalized pareto distribution to data using maximum goodness-offit estimators. Computational statistics and data analysis, pp.904-917, 2006.

J. Pickands, Statistical inference using extreme order statistics, annals of Statistics, vol.3, pp.119-131, 1975.

R. A. Rigby and D. M. Stasinopoulos, Generalized additive models for location, scale and shape (with discussion), Journal of the Royal Statistical Society: Series C (Applied Statistics), vol.33, issue.3, pp.507-554, 2005.
DOI : 10.1002/sim.1861

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.177.7983