no code implementations • 24 Mar 2024 • Yuyu Chen, Paul Embrechts, Ruodu Wang
The phenomenon that diversification is not beneficial in the presence of super-Pareto losses is further illustrated by an equilibrium analysis in a risk exchange market.
no code implementations • 17 Aug 2022 • Yuyu Chen, Paul Embrechts, Ruodu Wang
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance.