The P.O.T. (Peaks-Over-Threshold) approachconsists of using the Generalized ParetoDistribution (GPD)to approximate the distribution of excesses over a threshold.We use the probability-weighted momentsto estimate the parameters of the approximating distribution.We study the asymptotic behaviour ofthese estimators (in particular their asymptotic bias) and also thefunctional bias of the GPD as an estimate of thedistribution function of the excesses. We adapt penultimateapproximation results to the case where parameters are estimated.
