Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals

DOI10.1080/03610918.2013.791368zbMath1314.60055OpenAlexW2109276847MaRDI QIDQ5252861

Ludger Rüschendorf, Giovanni Puccetti

Publication date: 3 June 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.791368

zbMATH Keywords

rearrangementsdistribution functionsmoment bounds for dependent risks

Mathematics Subject Classification ID

Related Items (6)

Optimal multivariate financial decision making ⋮ Detecting complete and joint mixability ⋮ Bounds on integrals with respect to multivariate copulas ⋮ An algorithm to approximate the optimal expected inner product of two vectors with given marginals ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ Studying mixability with supermodular aggregating functions

Cites Work

• On the approximation of copulas via shuffles of Min
• The complete mixability and convex minimization problems with monotone marginal densities
• Solution of a statistical optimization problem by rearrangement methods
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Computation of sharp bounds on the distribution of a function of dependent risks
• L-superadditive structure functions
• Sharp Bounds for Sums of Dependent Risks
• Rearrangement Inequalities
• Correlation and Complete Dependence of Random Variables
• An Inequality for Rearrangements
• Inequalities: theory of majorization and its applications

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