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.