We study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index α ∈ (1, 2)). We show that, in such a case, the Gini coefficient cannot...

We propose a methodology to look at violence in particular, and other aspects of quantitative historiography in general, in a way compatible with statistical inference, which needs to accommodate the fat-tailedness of the data and the unreliability of the reports of conflicts. We investigate the...

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be...