Charpentier, Arthur; Flachaire, Emmanuel - In: Recent econometric techniques for macroeconomic and …, (pp. 355-387). 2021
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial …, return period). Nevertheless, in practice, distributions are (strictly) Pareto only in the tails, above (possible very) large … article, we present how to go from a strict Pareto model to Pareto-type distributions. We discuss inference, derive formulas …