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math.PR2025
Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
Yuyu Chen, Seva Shneer
We introduce a new class of heavy-tailed distributions for which any weighted average of independent and identically distributed random variables is larger than one such random var…
math.PR2025
Stochastic dominance for linear combinations of infinite-mean risks
Yuyu Chen, Taizhong Hu, Seva Shneer +1
In this paper, we establish a sufficient condition to compare linear combinations of independent and identically distributed (iid) infinite-mean random variables under usual stocha…