4 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…
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…
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…