Current open questions in complete mixability
From MaRDI portal
Abstract: Complete and joint mixability has raised considerable interest in recent few years, in both the theory of distributions with given margins, and applications in discrete optimization and quantitative risk management. We list various open questions in the theory of complete and joint mixability, which are mathematically concrete, and yet accessible to a broad range of researchers without specific background knowledge. In addition to the discussions on open questions, some results contained in this paper are new.
Recommendations
Cites work
- A general duality theorem for marginal problems
- Advances in complete mixability
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Asymptotic bounds for the distribution of the sum of dependent random variables
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Bounds for functions of dependent risks
- Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Bounds for the sum of dependent risks having overlapping marginals
- Bounds on total economic capital: the DNB case study
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Choosing joint distributions so that the variance of the sum is small
- Comparison methods for stochastic models and risks
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Computation of sharp bounds on the distribution of a function of dependent risks
- Detecting complete and joint mixability
- General convex order on risk aggregation
- General lower bounds on convex functionals of aggregate sums
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- scientific article; zbMATH DE number 3070150 (Why is no real title available?)
- Inequalities for distributions with given marginals
- Joint Mixability
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- On a class of extremal problems in statistics
- On aggregation sets and lower-convex sets
- On the multidimensional extension of countermonotonicity and its applications
- Random variables with maximum sums
- Risk aggregation with dependence uncertainty
- Sharp bounds for sums of dependent risks
- Solution of a statistical optimization problem by rearrangement methods
- Stochastic finance. An introduction in discrete time
- Studying mixability with supermodular aggregating functions
- The complete mixability and convex minimization problems with monotone marginal densities
- The concept of comonotonicity in actuarial science and finance: theory.
- The Existence of Probability Measures with Given Marginals
- The safest dependence structure among risks.
- Variance minimization and random variables with constant sum
Cited in
(7)- Joint mixability of some integer matrices
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Centers of probability measures without the mean
- Studying mixability with supermodular aggregating functions
- Detecting complete and joint mixability
- The distributions of the mean of random vectors with fixed marginal distribution
- Size of the largest sum-free subset of \([n]^3\) and \([n]^4\)
This page was built for publication: Current open questions in complete mixability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491375)
