Risk aggregation and stochastic dominance for a class of heavy-tailed distributions

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<dc:creator>Chen, Yuyu</dc:creator>
<dc:creator>Shneer, Seva</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-01-15</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189432.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Pérdidas máximas por siniestros</dc:subject>
<dc:subject xml:lang="es">Distribuciones de probabilidad</dc:subject>
<dc:subject xml:lang="es">Riesgo finito</dc:subject>
<dc:subject xml:lang="es">Riesgo operacional</dc:subject>
<dc:subject xml:lang="es">Ciberriesgos</dc:subject>
<dc:subject xml:lang="es">Rendimiento</dc:subject>
<dc:subject xml:lang="es">Nuevas tecnologías</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Risk aggregation and stochastic dominance for a class of heavy-tailed distributions</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
</rdf:Description>
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