Arthur Charpentier, Emmanuel Flachaire
arXiv 26 Dec 2019 · Econometrics
arXiv:1912.11736 · PDF · DOI · OpenAlex · Extracted main text
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index, Return Period). Nevertheless, in practice, distributions are (strictly) Pareto only in the tails, above (possible very) large threshold. Therefore, it could be interesting to take into account second order behavior to provide a better fit. In this article, we present how to go from a strict Pareto model to Pareto-type distributions. We discuss inference, and derive formulas for various measures and indices, and finally provide applications on insurance losses and financial risks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Embrechts, P., C. Klüppelberg, and T. Mikosch (1997) Modelling Extremal Events for Insurance and Finance | 1.000 | 13 | 5 | 100% |
| 2 | Albrecher, H., J. Beirlant, and J. L. Teugels (2017) Reinsurance: Actuarial and Statistical Aspects | 1.000 | 8 | 4 | 100% |
| 3 | Beirlant, J., E. Joossens, and J. Segers (2009) Second-order refined peaks-over-threshold modelling for heavy-tailed distributions | 1.000 | 7 | 4 | 100% |
| 4 | Beirlant, J., Y. Goegebeur, J. Segers, and J. Teugels (2004) Statistics of Extremes: Theory and Applications | 1.000 | 6 | 3 | 100% |
| 5 | Balkema, A. and L. de Haan (1974) Residual life time at great age | 0.843 | 3 | 3 | 100% |
| 6 | Beirlant, J. and J. L. Teugels (1992) Modeling large claims in non-life insurance | 0.644 | 2 | 2 | 100% |
| 7 | Charpentier, A. and E. Flachaire (2019) Pareto models for top incomes self | 0.644 | 2 | 2 | 100% |
| 8 | de Haan, L. and A. Ferreira (2006) Extreme Value Theory: An introduction | 0.644 | 2 | 2 | 100% |
| 9 | McNeil, A (1997) Estimating the tails of loss severity distributions using extreme value theory | 0.644 | 2 | 2 | 100% |
| 10 | Pickands, J (1975) Statistical inference using extreme order statistics | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 41 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Quantitative methods in finance | 0.644 | 2 | 2 |