Centro de Documentacion de Fundación MAPFRE - Risk aggregation and stochastic dominance for a class of heavy-tailed distributions

MAP20260002071

Risk aggregation and stochastic dominance for a class of heavy-tailed distributions / Yuyu Chen and Seva Shneer

Sumario: This paper introduces a new class of heavy-tailed distributions in which any weighted average of independent and identically distributed random variables is stochastically larger than each individual variable. Many common infinite-mean distributionssuch as Pareto, Fréchet, and Burrbelong to this class. The stochastic dominance result also extends to cases with negative dependence or with non-identically distributed variables. In particular, for non-identical distributions, the weighted average stochastically dominates their corresponding mixture distribution

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. Gestión de riesgos . 2. Modelo estocástico . 3. Riesgos catastróficos . 4. Cálculo actuarial . 5. Matemática del seguro . 6. Modelos matemáticos . I. Shneer, Seva . II. International Actuarial Association . III. Title.