no code implementations • 29 Apr 2024 • Yuyu Chen, Taizhong Hu, Ruodu Wang, Zhenfeng Zou
We study stochastic dominance between portfolios of independent and identically distributed (iid) extremely heavy-tailed (i. e., infinite-mean) Pareto random variables.
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.
no code implementations • 15 Apr 2021 • Yuyu Chen, Liyuan Lin, Ruodu Wang
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller than or equal to the other.
no code implementations • 24 Jul 2020 • Yuyu Chen, Peng Liu, Yang Liu, Ruodu Wang
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation.
