3 papers
math.PR2026
Almost stochastic dominance via optimal transport
Alfred Müller, Johannes Wiesel
We study parametric classes of almost stochastic dominance on general Polish spaces as order relations for probability distributions with a parameter . Larger values of…
q-fin.RM2024
Some remarks on the effect of risk sharing and diversification for infinite mean risks
Alfred Müller
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a…
math.ST2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
Carole Bernard, Alfred Müller
The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expec…