A Pareto Tail Plot Without Moment Restrictions

We propose a mean functional that exists for arbitrary probability distributions and characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot, which is meaningless for distributions without an existing mean and has nonstandard behavior when the mean is finite, but the second moment does not exist. The construction of the plot is based on the principle of a single huge jump, which differentiates between distributions with moderately heavy and super heavy tails. We present an estimator of the tail function based on U-statistics and study its large sample properties. Several loss datasets illustrate the use of the new plot.