A popular way to estimate a Pareto exponent is to run an OLS regression: log (Rank) = c - blog (Size), and take b as an estimate of the Pareto exponent. Unfortunately, this procedure is strongly biased in small samples. We provide a simple practical remedy for this bias, and argue that, if one...

We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through...

We obtain estimates for the best constant in the Rosenthal inequality for independent random variables [xi]1,...,[xi]n with l zero first odd moments, l[greater-or-equal, slanted]1. The estimates are sharp in the extremal cases l=1 and l=m, that is, in the cases of random variables with zero mean...

The structure of many models in economics and finance depends on majorization properties of convolutions of distributions. In this paper, we analyze robustness of these properties and the models based on them to heavy-tailedness assumptions. We show, in particular, that majorization properties...

Despite the availability of more sophisticated methods, a popular way to estimate a Pareto exponent is still to run an OLS regression: log(Rank)=a-b log(Size), and take b as an estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity and robustness of this...

We develop a framework for the optimal bundling problem of a multiproduct monopolist, who provides goods to consumers with private valuations that are random draws from a distribution with heavy tails. We show that in the Vickrey auction setting, the buyers prefer separate provision of the goods...

This paper deals with the analysis of the relation between aggregate demand for a consumption good and the distribution of income across consumers. We obtain sufficient conditions under which changes in income inequality lead to an increase or decrease in the market demand elasticities. The...

This paper presents a study of the intertemporal propagation of distributional properties of phenotypes in general polygenic multisex inheritance models with sex- and time-dependent heritabilities. It further analyzes the implications of these models under heavy-tailedness of traits' initial...

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present...