4 citations · 8 across the 9 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…