Búsqueda
Centro de Documentación y Conocimiento

Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
Portada
MAP20260002040
Chen, Yuyu ‌
Risk aggregation and stochastic dominance for a class of heavy-tailed distributions / Yuyu Chen and Seva Shneer
Sumario: Distributions with infinite mean are ubiquitous in the realm of banking and insurance, and they are particularly useful in modeling catastrophic losses (Ibragimov et al., 2009), operational losses (Moscadelli, 2004), costs of cyber risk events (Eling andWirfs, 2019), and financial returns from technology innovations (Silverberg and Verspagen, 2007); see also Chen andWang (2025) for a list of empirical examples of distributions with infinite mean. This paper focuses on establishing some stochastic dominance relations for infinite-mean models
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p. 206 - 219
1. Matemática del seguro ‌. 2. Cálculo actuarial ‌. 3. Pérdidas máximas por siniestros ‌. 4. Distribuciones de probabilidad ‌. 5. Riesgo finito ‌. 6. Riesgo operacional ‌. 7. Ciberriesgos ‌. 8. Rendimiento ‌. 9. Nuevas tecnologías ‌. 10. Modelo estocástico ‌. I. Shneer, Seva ‌. II. International Actuarial Association ‌. III. Título.