Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities (Q1945047): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00780-012-0200-5 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2016291901 / rank | |||
Normal rank | |||
Revision as of 20:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities |
scientific article |
Statements
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities (English)
0 references
2 April 2013
0 references
The main result in this paper establishes sharp dependence bounds for the distribution function of a sum of dependent, identically distributed risks with monotone density. As a consequence this result implies sharp bounds for the value at risk. The proof of this result is based on mixability properties of the distributions. It extends a previous result of \textit{B. Wang} and the first author [J. Multivariate Anal. 102, No. 10, 1344--1360 (2011; Zbl 1229.60019)] which was concerned with the case of random variables in \([0,1]\).
0 references
complete mixability
0 references
monotone density
0 references
sum of dependent risks
0 references
value-at-risk
0 references
