Tail risk of contagious diseases

2020/04/18 by Pasquale Cirillo, Nassim Nicholas Taleb · 1 voice · 2 citations
Economics, Econometrics and Finance · Environmental Science · Mathematics · Physics and Astronomy · #COVID-19 epidemiological studies #Complex Systems and Time Series Analysis #Ecosystem dynamics and resilience #physics.soc-ph

paper · pdf · doi:10.1038/s41567-020-0921-x

arxiv published 2020/04/18 · arxiv updated 2020/04/18 · openalex publication_date 2020/05/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Abstract

Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially existential risk for humanity. Such a macro property should invite the use of Extreme Value Theory (EVT) rather than naive interpolations and expected averages for risk management purposes. An implication is that potential tail risk overrides conclusions on decisions derived from compartmental epidemiological models and similar approaches.

Citations

• Power-law distributions in empirical data
• The Mathematics of Infectious Diseases
• On the statistical properties and tail risk of violent conflicts

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Discussions

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