163 citations · 237 across the 9 of their papers we have counts for
4 papers · 1 filter
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…
Robustness in the Optimization of Risk Measures
Paul Embrechts, Alexander Schied, Ruodu Wang
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement rel…
A General Duality Relation with Applications in Quantitative Risk Management
Raphael Hauser, Sergey Shahverdyan, Paul Embrechts
A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about thei…