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

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      <subfield code="a">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</subfield>
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      <subfield code="g">19/01/2026 Volume 56 Issue 1 - January 2026 , p. 206 - 219</subfield>
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