Related papers: Estimating Wealth Distribution: Top Tail and Inequ…
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, dynasties have linear consumption functions…
The higher-end tail of the wealth distribution in India is studied using recently published lists of the wealth of richest Indians between the years 2002-4. The resulting rank distribution seems to imply a power-law tail for the wealth…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all…
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading…
We develop a novel fixed-k tail regression method that accommodates the unique feature in the Forbes 400 data that observations are truncated from below at the 400th largest order statistic. Applying this method, we find that higher maximum…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…
Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit…
Power law distributions, in particular Pareto distributions, describe data across diverse areas of study. We have developed a package in R to estimate the tail index for such datasets focusing on speed (in particular with large datasets),…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is…
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…
In the so-called ``fair'' models of peer-to-peer wealth exchanges, economic inequality tends to reach its maximum value asymptotically. This global trend is evident as the richest continuously accumulate a larger share of wealth at the…
Most extreme events in real life can be faithfully modeled as random realizations from a Generalized Pareto distribution, which depends on two parameters: the scale and the shape. In many actual situations, one is mostly concerned with the…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…