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