Convex combinations of random variables stochastically dominate the parent for a new class of heavy-tailed distributions
Fuente:
arXiv
Saved in:
| Main Authors: | Arab, Idir, Lando, Tommaso, Oliveira, Paulo Eduardo |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Inequalities and bounds for expected order statistics from transform-ordered families
by: Arab, Tommaso Lando Idir, et al.
Published: (2024)
by: Arab, Tommaso Lando Idir, et al.
Published: (2024)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)
by: Tian, Xin
Published: (2025)
Asymptotics of randomly weighted sums without moment conditions of random weights
by: Gao, Qingwu, et al.
Published: (2026)
by: Gao, Qingwu, et al.
Published: (2026)
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
by: Han, Xiyue, et al.
Published: (2023)
by: Han, Xiyue, et al.
Published: (2023)
Modelling the random spreading of fake news through a two-dimensional time-inhomogeneous birth-death process
by: Di Crescenzo, Antonio, et al.
Published: (2024)
by: Di Crescenzo, Antonio, et al.
Published: (2024)
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)
by: Han, Xiyue, et al.
Published: (2025)
New results and tests for stochastic dominance between linear combinations
by: Lando, Tommaso, et al.
Published: (2026)
by: Lando, Tommaso, et al.
Published: (2026)
Failure Rate Properties of Parallel Systems
by: Arab, Idir, et al.
Published: (2018)
by: Arab, Idir, et al.
Published: (2018)
Stochastic Ordering of Dependent Systems under Transformation Models and Archimedean Copulas
by: Arab, Idir, et al.
Published: (2026)
by: Arab, Idir, et al.
Published: (2026)
Time-lagged marginal expected shortfall
by: Liu, Jiajun, et al.
Published: (2025)
by: Liu, Jiajun, et al.
Published: (2025)
Linear combination of bilateral gamma random variables: distributional theory and approximations
by: Barman, Kalyan, et al.
Published: (2026)
by: Barman, Kalyan, et al.
Published: (2026)
Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
Set-valued conditional functionals of random sets
by: Fissler, Tobias, et al.
Published: (2025)
by: Fissler, Tobias, et al.
Published: (2025)
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)
by: Deng, Fengnan, et al.
Published: (2025)
Ensemble distributional forecasting for insurance loss reserving
by: Avanzi, Benjamin, et al.
Published: (2022)
by: Avanzi, Benjamin, et al.
Published: (2022)
Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)
by: Flores-Silva, Daniela I., et al.
Published: (2025)
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)
by: Sarantsev, Andrey, et al.
Published: (2025)
Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)
by: Das, Bikramjit, et al.
Published: (2023)
A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
by: Imamura, Yuri, et al.
Published: (2025)
by: Imamura, Yuri, et al.
Published: (2025)
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023)
by: Avanzi, Benjamin, et al.
Published: (2023)
First server effect on the expected number of games in tennis
by: Mohammadi, Ali
Published: (2026)
by: Mohammadi, Ali
Published: (2026)
Stochastic Dynamics of Ripple XRP for Cross-Border Settlement Optimization
by: Firouzi, Kiarash
Published: (2025)
by: Firouzi, Kiarash
Published: (2025)
Cluster size distributions of discrete random fields
by: Cheng, Dan, et al.
Published: (2026)
by: Cheng, Dan, et al.
Published: (2026)
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)
by: Avanzi, Benjamin, et al.
Published: (2026)
Joint calibration to SPX and VIX options with signature-based models
by: Cuchiero, Christa, et al.
Published: (2023)
by: Cuchiero, Christa, et al.
Published: (2023)
Zero-Coupon Treasury Rates and Returns using the Volatility Index
by: Park, Jihyun, et al.
Published: (2024)
by: Park, Jihyun, et al.
Published: (2024)
Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes
by: Wu, Yinhao, et al.
Published: (2025)
by: Wu, Yinhao, et al.
Published: (2025)
Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)
by: Avanzi, Benjamin, et al.
Published: (2024)
Branched Signature Model
by: Ali, Munawar, et al.
Published: (2025)
by: Ali, Munawar, et al.
Published: (2025)
The envelope of a complex Gaussian random variable
by: Ghosal, Sattwik, et al.
Published: (2023)
by: Ghosal, Sattwik, et al.
Published: (2023)
Stochastic orders and shape properties for a new distorted proportional odds model
by: Arab, Idir, et al.
Published: (2024)
by: Arab, Idir, et al.
Published: (2024)
Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)
by: Laeven, Roger J. A., et al.
Published: (2024)
Limit theorems under heavy-tailed scenario in the age dependent random connection models
by: Hirsch, Christian, et al.
Published: (2024)
by: Hirsch, Christian, et al.
Published: (2024)
Market-based insurance ratemaking: application to pet insurance
by: Goffard, Pierre-Olivier, et al.
Published: (2025)
by: Goffard, Pierre-Olivier, et al.
Published: (2025)
On the dependence between a Wiener process and its running maxima and running minima processes
by: Dąbrowski, Karol, et al.
Published: (2021)
by: Dąbrowski, Karol, et al.
Published: (2021)
Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
by: Muhammad, Tashreef
Published: (2026)
by: Muhammad, Tashreef
Published: (2026)
Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)
by: Fissler, Tobias, et al.
Published: (2024)
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)
by: Deep, Akash, et al.
Published: (2025)
From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)
by: Di Nunno, Giulia, et al.
Published: (2023)
Similar Items
-
Inequalities and bounds for expected order statistics from transform-ordered families
by: Arab, Tommaso Lando Idir, et al.
Published: (2024) -
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025) -
Asymptotics of randomly weighted sums without moment conditions of random weights
by: Gao, Qingwu, et al.
Published: (2026) -
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
by: Han, Xiyue, et al.
Published: (2023) -
Modelling the random spreading of fake news through a two-dimensional time-inhomogeneous birth-death process
by: Di Crescenzo, Antonio, et al.
Published: (2024)