Related papers: Estimating Wealth Distribution: Top Tail and Inequ…
We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto's law across economies, ideologies and nations suggests that this could be an outcome of trading strategies. However, the simple…
Personal income distribution may exhibit a two-class structure, such that the lower income class of the population (85-98%) is described by exponential Boltzmann-Gibbs distribution, whereas the upper income class (15-2%) has a Pareto…
The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…
In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…
Heavy-tailed distributions are infamously difficult to estimate because their moments tend to infinity as the shape of the tail decay increases. Nevertheless, this study shows the utilization of a modified group of moments for estimating a…
This article is a supplement to my main contribution to the Routledge Handbook of Complexity Economics (2023). On the basis of three recent papers, it presents an unconventional perspective on economic inequality from a statistical physics…
This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
Income and wealth allocation are foundational components of how economies operate. These are complex distributions, and it is hard to get a real sense for their dynamics using simplifications like average or median. One metric that…
To simultaneously overcome the limitation of the Gini index in that it is less sensitive to inequality at the tails of income distribution and the limitation of the inter-decile ratios that ignore inequality in the middle of income…
The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive the wealth distribution using discrete…
We present the data on wealth and income distributions in the United Kingdom, as well as on the income distributions in the individual states of the USA. In all of these data, we find that the great majority of population is described by an…
This study explores the link between the capital share and income inequality over the past four decades across 56 countries. Calculating the capital share from national accounts alongside top income share data from the World Inequality…
We develop an unsupervised mixture model for non-negative, skewed and heavy-tailed data, such as losses in actuarial and risk management applications. The mixture has a lognormal component, which is usually appropriate for the body of the…
Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived the…
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion of basic analytical properties,…
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method…
A brief overview of the models and data analyses of income, wealth, consumption distributions by the physicists, are presented here. It has been found empirically that the distributions of income and wealth possess fairly robust features,…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
It was shown that when one disposes of a parametric information of the truncation distribution, the semiparametric estimator of the distribution function for truncated data (Wang, 1989) is more efficient than the nonparametric one. On the…