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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: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189435.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">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Riesgos catastróficos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</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>
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