Search Results for author: Yuyu Chen

Found 3 papers, 0 papers with code

An unexpected stochastic dominance: Pareto distributions, dependence, and diversification

no code implementations17 Aug 2022 Yuyu Chen, Paul Embrechts, Ruodu Wang

We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance.

Risk Aggregation under Dependence Uncertainty and an Order Constraint

no code implementations15 Apr 2021 Yuyu Chen, Liyuan Lin, Ruodu Wang

We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller than or equal to the other.

Ordering and Inequalities for Mixtures on Risk Aggregation

no code implementations24 Jul 2020 Yuyu Chen, Peng Liu, Yang Liu, Ruodu Wang

Aggregation sets, which represent model uncertainty due to unknown dependence, are an important object in the study of robust risk aggregation.

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