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Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?
16 references·1 citing·29 second hop
Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not? (2012)Understanding Heavy Tails in a Bounded Wo…Non-Life Insurance Mathematics (2009)Non-Life Insurance MathematicsNon-life insurance mathematics : an introduction with the Poisson process (2009)Non-life insurance mathematic…Statistics of extremes under random censoring (2008)Statistics of extremes under …Estimation of the extreme value index and extreme quantiles under random censoring (2007)Estimation of the extreme val…The scaling laws of human travel (2006)The scaling laws of human tra…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…Upper-truncated Power Laws in Natural Systems (2001)Upper-truncated Power Laws in…How to make a Hill plot (2000)How to make a Hill plotStable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Stable Non-Gaussian Random Pr…Modelling Extremal Events (1997)Modelling Extremal EventsTail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics (1996)Tail Index Estimation, Pareto…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Do financial returns have finite or infinite variance? A paradox and an explanation (2010)Do financial returns have fin…Continuous Martingales and Brownian Motion (1991)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Parameter estimation for power-law distributions by maximum likelihood methods (2007)Econophysics review: I. Empirical facts (2011)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Modelling by Lévy Processess for Financial Econometrics (2001)Multifractality Tests Using Bootstrapped Wavelet Leaders (2007)Analysis of the Rosenblatt process (2008)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012)Of Disasters and Dragon Kings: A Statistical Analysis of Nuclear Power Incidents and Accidents (2016)The extreme risk of personal data breaches and the erosion of privacy (2016)Extreme Correlation of International Equity Markets (2001)Understanding individual human mobility patterns (2008)Limits of Predictability in Human Mobility (2010)Friendship and mobility (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Power-law distributions in empirical data (2018)Risk management with expectiles (2015)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2006The scaling laws of human travel2,207 cited
  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 2006Extreme value theory : an introduction1,256 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994389 cited
  • 2000How to make a Hill plot238 cited
  • 2009Non-Life Insurance Mathematics232 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics127 cited
  • 2001Upper-truncated Power Laws in Natural Systems122 cited
  • 2008Statistics of extremes under random censoring84 cited
  • 2007Estimation of the extreme value index and extreme quantiles under random censoring77 cited
  • 2009Non-life insurance mathematics : an introduction with the Poisson process

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