4 citations · 8 across the 9 of their papers we have counts for
9 papers
Universal Value-at-Risk superadditivity
Yuyu Chen, Liyuan Lin, Ruodu Wang
Value-at-Risk (VaR) is a standard regulatory risk measure, and its failure of subadditivity is well known. Much less appreciated is that for sufficiently heavy-tailed losses, VaR c…
Infinite-mean models in risk management: Discussions and recent advances
Yuyu Chen, Ruodu Wang
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and…
Sub-uniformity of harmonic mean p-values
Yuyu Chen, Ruodu Wang, Yuming Wang +1
We obtain several inequalities on the generalized means of dependent p-values. In particular, the weighted harmonic mean of p-values is strictly sub-uniform under several dependenc…
Diversification for infinite-mean Pareto models without risk aversion
Yuyu Chen, Taizhong Hu, Ruodu Wang +1
We study stochastic dominance between portfolios of independent and identically distributed (iid) extremely heavy-tailed (i.e., infinite-mean) Pareto random variables. With the not…
Risk exchange under infinite-mean Pareto models
Yuyu Chen, Paul Embrechts, Ruodu Wang
We study the optimal decisions and equilibria of agents who aim to minimize their risks by allocating their positions over extremely heavy-tailed (i.e., infinite-mean) and possibly…
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
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 ra…
Risk Aggregation under Dependence Uncertainty and an Order Constraint
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 th…
Trade-off between validity and efficiency of merging p-values under arbitrary dependence
Yuyu Chen, Peng Liu, Ken Seng Tan +1
Various methods of combining individual p-values into one p-value are widely used in many areas of statistical applications. We say that a combining method is valid for arbitrary d…
Ordering and Inequalities for Mixtures on Risk Aggregation
Yuyu Chen, Peng Liu, Yang Liu +1
Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation. In this paper, we investigate orderi…