The statistical consequences of fat tails

Nassim Nicholas Taleb:

This book consists in 1) published papers and 2) (uncensored) commentary,about classes of statistical distributions that deliver extreme events, and howwe should deal with them for both statistical inference and decision making.Most “standard” statistics come from theorems designed for thin tails: theyneed to be adapted preasymptotically to fat tails, which is not trivial –orabandoned altogether