Tail Risk of Contagious Diseases

Abstract—Using methods from extreme value theory, we examine the major pandemics in history, trying to understand their tail properties.

Applying the shadow distribution approach developed by the authors for violent conflicts [5], we provide rough estimates for quantities not immediately observable in the data.

Epidemics and pandemics are extremely heavy-tailed, with a potential existential risk for humanity. This property should override conclusions derived from local epidemiological models in what relates to tail events.