Affine Virtual Values and the Generalized Pareto distribution

• Characterizes Generalized Pareto distributions via affine Virtual Values. • Shows that tail index fully governs optimal cutoffs and comparative statics. • Links monopoly, mechanism design and search through a single tail parameter. • Uses Extreme Value Theory to show asymptotic linearity of Virtual Values.

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Publication Details

Journal
Journal of Mathematical Economics
Published
2026-05-29
DOI
https://doi.org/10.1016/j.jmateco.2026.103267
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

Affine Virtual Values and the Generalized Pareto distribution

Paolo Morganti
Journal of Mathematical Economics
Financial Risk and Volatility Modeling
article

Affine Virtual Values and the Generalized Pareto distribution

Paolo Morganti
article en

Abstract

• Characterizes Generalized Pareto distributions via affine Virtual Values. • Shows that tail index fully governs optimal cutoffs and comparative statics. • Links monopoly, mechanism design and search through a single tail parameter. • Uses Extreme Value Theory to show asymptotic linearity of Virtual Values.

Journal of Mathematical EconomicsVol. 125
Universidad Panamericana (GT), Universidad Panamericana (MX)
Openalex Percentile: Top 4%
Financial Risk and Volatility Modeling
DOIOpen Access PDFOpenAlex
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