Heavy-Tailed Distributions and Robustness in Economics and Finance

  • Marat Ibragimov
  • Rustam Ibragimov
  • Johan Walden

Part of the Lecture Notes in Statistics book series (LNS, volume 214)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Marat Ibragimov, Rustam Ibragimov, Johan Walden
    Pages 1-9
  3. Marat Ibragimov, Rustam Ibragimov, Johan Walden
    Pages 11-81
  4. Marat Ibragimov, Rustam Ibragimov, Johan Walden
    Pages 83-109
  5. Back Matter
    Pages 111-119

About this book


This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailedness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.


Diversification Econometrics Financial markets Heavy tailed distribution Insurance markets Risk management

Authors and affiliations

  • Marat Ibragimov
    • 1
  • Rustam Ibragimov
    • 2
  • Johan Walden
    • 3
  1. 1.Institute of Economics and FinanceKazan Federal UniversityKazanRussia
  2. 2.Imperial College Business SchoolLondonUnited Kingdom
  3. 3.University of California at Berkeley Walter A. Haas School of BusinessBerkeleyUSA

Bibliographic information