Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260002071 | ||
| 003 | MAP | ||
| 005 | 20260205101744.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260001647$aChen, Yuyu | ||
| 245 | 1 | 0 | $aRisk aggregation and stochastic dominance for a class of heavy-tailed distributions$cYuyu Chen and Seva Shneer |
| 520 | $aThis 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 | ||
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20260001562$aRiesgos catastróficos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 700 | 1 | $0MAPA20260001654$aShneer, Seva | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g19/01/2026 Volume 56 Issue 1 - January 2026 , p. 206 - 219$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |