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

Notas: 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 distributionRegistros relacionados: 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 - 219Materia / lugar / evento: Gestión de riesgos Modelo estocástico Riesgos catastróficos Cálculo actuarial Matemática del seguro Modelos matemáticos Otros autores: Shneer, Seva
International Actuarial Association
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