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  • Photo du rédacteurHélène Dufour

Risk exchange under infinite-mean Pareto models

The study explores optimal decision-making for agents minimizing risks with extremely heavy-tailed, possibly dependent losses. Focused on super-Pareto distributions, including heavy-tailed Pareto, it finds non-diversification preferred with well-defined risk measures. Equilibrium analysis in risk exchange markets indicates agents with such losses avoid risk sharing. Empirical data confirms real-world heavy-tailed distributions.


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