On the controversy over tailweight of distributions.

DOI10.1016/J.ORL.2003.10.011MaRDI QIDQ703249zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 1301871 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• scientific article; zbMATH DE number 934474 (Why is no real title available?)
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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
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• On the impossibility of estimating densities in the extreme tail
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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• Role of models in statistical analysis
• Stable Paretian models in finance
• Subordinated market index models: A comparison
• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(24)

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

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