On tails of symmetric and totally asymmetric α-stable distributions

2018/02/02 by Witold Bednorz, Bednorz, Witold M., Rafał M. Łochowski +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #60E07 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1802.00612

openalex publication_date 2018/02/02 · openalex created_date 2022/10/06 · openalex updated_date 2026/07/28

Abstract

We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional α-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of α close to 2 we specify where exactly the tail changes from being Gaussian and starts to behave like in the Pareto distribution

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