On the controversy over tailweight of distributions.

DOI10.1016/J.ORL.2003.10.011MaRDI QIDQ703249zbMATHOpenAlexFDO

Authors S. G. Kou, Christopher C. Heyde

Publication date 11 January 2005

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2003.10.011

zbMATH Keywords

FinanceHill ratio plotsInsurance risk analysisMean excess functionQueueing theoryTail probability plots

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

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Cites work

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• A jump-diffusion model for option pricing
• A risky asset model with strong dependence through fractal activity time
• Analytical value-at-risk with jumps and credit risk
• Empirical realities for a minimal description risky asset model. The need for fractal features
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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• Internet Traffic Tends Toward Poisson and Independent as the Load Increases
• Modeling growth stocks via birth-death processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the impossibility of estimating densities in the extreme tail
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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• Subordinated market index models: A comparison
• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(24)

• Solving multi-objective portfolio optimization problem for Saudi Arabia stock market using hybrid clonal selection and particle swarm optimization
• Methods to distinguish between polynomial and exponential tails
• Varying confidence levels for CVaR risk measures and minimax limits
• Stress scenario selection by empirical likelihood
• Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA
• Capital income jumps and wealth distribution
• Test of fit for a Laplace distribution against heavier tailed alternatives
• Pricing double-barrier options under a flexible jump diffusion model
• Wavelet variances for heavy-tailed time series
• Stationary-increment Student and variance-gamma processes
• Scaling issues for risky asset modelling
• Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
• Fitting the variance-gamma model to financial data
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• A simple heuristic for load balancing in parallel processing networks with highly variable service time distributions
• Graphical representations and associated goodness-of-fit tests for Pareto and log-normal distributions based on inequality curves
• Modeling growth stocks via birth-death processes
• Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
• Characteristic function and operator approach to M-indeterminate probability densities
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Reducing Simulation Input-Model Risk via Input Model Averaging
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
• Tailweight, quantiles and kurtosis: A study of competing distributions

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