Year: 2026
Type: preprint
Abstract: The concept of weighted universal Value-at-Risk superadditivity (WUVS) was recently introduced by Chen et al. (2026) as a generalization of the question whether for some infinite mean distributions convex combinations of i.i.d. random variables can stochastically dominate the parent distribution. In this short note we prove that the property WUVS can basically never hold for discrete distributions except for the case of comonotonicity. This implies as a corollary that for discrete distributions with infinite mean it can also never hold that convex combinations of i.i.d. random variables can stochastically dominate the parent distribution. This settles an open problem mentioned in Müller (2025).
Source: arXiv (Cornell University)
Author: Müller, Alfred
Institution: University of Siegen
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7214101243