论文标题
意外的随机支配地位：帕累托分布，依赖性和多样化
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
论文作者
论文摘要
我们发现，在一阶随机优势的意义上，具有无限平均值的独立和相同分布的帕累托随机变量的加权平均值大于一个这样的随机变量，这也许令人惊讶的不平等。该结果适用于更多的通用模型，包括超级群岛分布，负依赖性和触发事件，并产生这些模型风险措施价值的超级药物。
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. This result holds for more general models including super-Pareto distributions, negative dependence, and triggering events, and yields superadditivity of the risk measure Value-at-Risk for these models.
