As the threshold value is increased, the distribution of losses over a fixed threshold value converges to a generalized Pareto distribution.

if the tail parameter value of the generalized extreme-value (GEV) distribution goes to infinity, then the GEV essentially becomes a normal distribution.

To apply EVT, the underlying loss distribution must be either normal or lognormal.

The number of exceedances decreases as the threshold value decreases, which causes the reliability of the parameter estimates to increase.