[2] Chen, Y., Lin, L., and Wang, R. (2026). Universal Value-at-Risk superadditivity. [arXiv]
[1] CalderÃn-Ojeda, E., Chen, Y., and Tan, S. W. (2026). Capital allocation and tail central moments for the multivariate normal mean-variance mixture distribution. [arXiv]
Publications
[13] Chen, Y., Hu, T., Shneer, S., and Zou, Z. (2026). Stochastic dominance for linear combinations of infinite-mean risks. Journal of Applied Probability (forthcoming). [arXiv]
[12] Miao, Z., Li, H., and Chen, Y. (2026). Gradient boosted multi-population mortality modelling with high-frequency data. ASTIN Bulletin. [doi][arXiv]
[11] Chen, Y., Wang, R., Wang, Y., and Zhu, W. (2026). Sub-uniformity of harmonic mean p-values. Canadian Journal of Statistics. [doi][arXiv]
[10] Chen, Y. and Shneer, S. (2026). Risk aggregation and stochastic dominance for a class of heavy-tailed distributions. ASTIN Bulletin. [doi][arXiv]
[9] Chen, Y., Embrechts, P., and Wang, R. (2025). Risk exchange under infinite-mean Pareto models. Insurance: Mathematics and Economics. [doi][arXiv]
[8] Boonen, T.J., Chen, Y., Han, X., and Wang, Q. (2025). Optimal insurance design with Lambda-Value-at-Risk. European Journal of Operational Research. [doi][arXiv]
[7] Chen, Y., Embrechts, P., and Wang, R. (2025). An unexpected stochastic dominance: Pareto distributions, dependence, and diversification. Operations Research. [doi][arXiv]
[6] Chen, Y., Hu, T., Wang, R., and Zou, Z. (2025). Diversification for infinite-mean Pareto models without risk aversion. European Journal of Operational Research. [doi][arXiv]
[5] Chen, Y. and Wang, R. (2025). Infinite-mean models in risk management: Discussions and recent advances. Risk Sciences. [doi][arXiv]
[4] Chen, Y., Liu, P., Tan, K. S., and Wang, R. (2023). Trade-off between validity and efficiency of merging p-values under arbitrary dependence. Statistica Sinica. [doi][arXiv][R package]
[3] Chen, Y., Liu, P., Liu, Y., and Wang, R. (2022). Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance. [doi][arXiv]
[2] Chen, Y., Lin, L., and Wang, R. (2022). Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics. [doi][arXiv]
[1] Badescu, A., Chen, Y., Couch, M., and Cui, Z. (2019). Variance swaps valuation under non-affine GARCH models and their diffusion limits. Quantitative Finance. [doi][PDF]
