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

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<title>Risk aggregation and stochastic dominance for a class of heavy-tailed distributions</title>
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<namePart>Shneer, Seva</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Yuyu Chen and Seva Shneer</note>
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<topic>Gestión de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>19/01/2026 Volume 56 Issue 1 - January 2026 , p. 206 - 219</text>
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