Related papers: Large Variance and Fat Tail of Damage by Natural D…

We study the statistics of human deaths from wars, conflicts, similar man-made conflicts as well as natural disasters. The probability distribution of number of people killed in natural disasters as well as man made situations show power…

The size that an epidemic can reach, measured in terms of the number of fatalities, is an extremely relevant quantity. It has been recently claimed [Cirillo & Taleb, Nature Physics 2020] that the size distribution of major epidemics in…

The notion that natural disasters can be controlled is, of course, farcical; history is permeated with examples of countless failed attempts at this pointless task; it is synonymous with trying to build a perpetual motion machine.…

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…

This paper discusses the use of fat-tailed distributions in catastrophe prediction as opposed to the more common use of the Normal Distribution.

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…

We study large deviation properties of probability distributions with either a compact support or a fat tail by comparing them with q-deformed exponential distributions. Our main result is a large deviation property for probability…

Understanding the shape of a distribution of data is of interest to people in a great variety of fields, as it may affect the types of algorithms used for that data. We study one such problem in the framework of distribution property…

We examine statistical pictures of violent conflicts over the last 2000 years, finding techniques for dealing with incompleteness and unreliability of historical data. We introduce a novel approach to apply extreme value theory to…

In this paper, we obtain some results on precise large deviations for non-random and random sums of widely dependent random variables with common dominatedly varying tail distribution or consistently varying tail distribution on…

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…

Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…

I introduce a model-free methodology to assess the impact of disaster risk on the market return. Using S&P500 returns and the risk-neutral quantile function derived from option prices, I employ quantile regression to estimate local…

Power-law tails are ubiquitous in income distributions and in the energy distributions of diluted relativistic gases. We analyze the conceptual link between these two cases. In economic interactions fat tails arise because the richest…

A classic problem in physics is the origin of fat tailed distributions generated by complex systems. We study the distributions of stock returns measured over different time lags $\tau.$ We find that destroying all correlations without…

Assessing and managing risks in a changing climate requires projections that account for decision-relevant uncertainties. These deep uncertainties are often approximated by ensembles of Earth-system model runs that sample only a subset of…

Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…

Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially…

It is argued that there is a need for fat-tailed distributions that become thin in the extreme tail. A 3-parameter distribution is introduced that visually resembles the t-distribution and interpolates between the normal distribution and…