Pareto distributions and related generalizations have historically been viewed as being
suitable for modelling income and wealth distributions. Following a brief review of the history …

A comprehensive account of economic size distributions around the world and throughout
the years In the course of the past 100 years, economists and applied statisticians have …

Estimation of the tail index parameter of a single-parameter Pareto model has wide
application in actuarial and other sciences. Here we examine various estimators from the …

Several recent papers treated robust and efficient estimation of tail index parameters for
(equivalent) Pareto and truncated exponential models, for large and small samples. New …

A new approach to goodness-of-fit for Pareto distributions is introduced. Based on Euclidean
distances between sample elements, the family of statistics and tests is indexed by an …

In parametric modeling of loss distributions in actuarial science, a versatile choice with
intermediate tail weight is the lognormal distribution. Surprisingly, however, the fitting of this …

Robust estimation of tail index parameters is treated for (equivalent) two-parameter Pareto
and exponential models. These distributions arise as parametric models in actuarial …

The Pareto distribution is often used in many areas of economics to model the right tail of
heavy-tailed distributions. However, the standard method of estimating the shape parameter …

A new approach to tail index estimation based on huberization of the Pareto MLE is
considered. The proposed estimator is robust in a nonstandard way in that it protects against …

In estimating the parametersof the two-parameter Pareto distributionit is well known that the
performance of the maximum likelihood estimator deteriorates when sample sizes are small …