Two Moments for Risk-Monotone Additive Statistics

Mark Whitmeyer

Papers from arXiv.org

Abstract: Every statistic on laws with finite pth moment that is additive across independent risks and monotone in mean-preserving spreads depends only on an additive function of the mean when p is strictly less than 2, and only on such a function and a nonnegative multiple of the variance when p is no less than 2.

Date: 2026-08
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