Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)


This is a survey of some of the mathematical, probabilistic and statistical tools used in heavy-tail analysis as well as some examples of their use. Heavy tails are characteristic of phenomena where the probability of a huge value is relatively big. Record-breaking insurance losses, financial log-returns, file sizes stored on a server, transmission rates of files are all examples of heavy-tailed phenomena. The modeling and statistics of such phenomena are tail dependent and much different than classical modeling and statistical analysis, which give primacy to central moments, averages, and the normal density, which has a wimpy, light tail.


Heavy Tail Return Process Left Tail Extreme Quantile Sample Autocorrelation Function 
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Copyright information

© Springer Science+Business Media, LLC 2007

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