7 papers
Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
Keyi Zeng, Zhenfeng Zou, Yuting Su +1
In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has ident…
Lambda R{é}nyi entropic value-at-risk
Zhenfeng Zou
This paper introduces the Lambda extension of the Rényi entropic value-at-risk (-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of…
Moment inequalities for higher-order (inverse) stochastic dominance
Meng Guan, Zhenfeng Zou, Taizhong Hu
Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for highe…
Negative Dependence in Knockout Tournaments
Yuting Su, Zhenfeng Zou, Taizhong Hu
Negative dependence in tournaments has received attention in the literature. The property of negative orthant dependence (NOD) was proved for different tournament models with a spe…
Extreme-case Range Value-at-Risk under Increasing Failure Rate
Yuting Su, Taizhong Hu, Zhenfeng Zou
The extreme cases of risk measures, when considered within the context of distributional ambiguity, provide significant guidance for practitioners specializing in risk management o…
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…