Related papers: Estimating Wealth Distribution: Top Tail and Inequ…
Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].…
Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…
Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…
The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…
The ideas of model averaging are used to find weights in peak-over-threshold problems using a possible range of thresholds. A range of the largest observations are chosen and considered as possible thresholds, each time performing…
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…
This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income distributions. Using a simple and realistic economic…
Grouped data in form of income shares have been conventionally used to estimate income inequality due to the lack of availability of individual records. Most prior research on economic inequality relies on lower bounds of inequality…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
It has been pointed out by Patriarca et al. (2005) that the power-law tailed equilibrium distribution in heterogeneous kinetic exchange models with a distributed saving parameter can be resolved as a mixture of Gamma distributions…
We develop a general framework to analyze the distribution functions of wealth and income. Within this framework we study wealth distribution in a society by using a model which turns on two-party trading for poor people while for rich…
A number of methods have been introduced in order to measure the inequality in various situations such as income and expenditure. In order to curry out statistical inference, one often needs to estimate the available measures of inequality.…
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One…
We use data on wealth of the richest persons taken from the "rich lists" provided by business magazines like Forbes to verify if upper tails of wealth distributions follow, as often claimed, a power-law behaviour. The data sets used cover…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
We investigate the shape of the Italian personal income distribution using microdata from the Survey on Household Income and Wealth, made publicly available by the Bank of Italy for the years 1977--2002. We find that the upper tail of the…
We revisit and refine known tail inequalities and confidence bounds for the hypergeometric distribution, i.e., for the setting where we sample without replacement from a fixed population with binary values or properties. The results are…
Explaining empirically observed wealth and income distributions, featuring power-law tails alongside gamma or log-normal bulk shapes, challenges models that focus on either pairwise competition or individual investment mechanisms. This…
"The rich are getting richer" implies that the population income distributions are getting more right skewed and heavily tailed. For such distributions, the mean is not the best measure of the center, but the classical indices of income…
The purpose of this paper is to show that the use of heavy-tailed distributions in Financial problems is theoretically baseless and can lead to significant misunderstandings. The reason for this the authors see in an incorrect…