Description: A significant fraction of insurance risk is characterized by the tail of the claims distribution, where we have much less data to model probabilities accurately. Ignoring the tails can lead to underpricing of tail risk and mispricing. Estimation of the tails can be complex due to a bias-variance tradeoff--the further out we go into the tail the more accurately we can model the extreme tail (lower bias) but the less data we have (increased variance). The statistical tools of Extreme Value Theory can be leveraged to more accurately estimate both the incidence and the severity of extreme events given that they occur. using the Generalized Pareto Distribution.