Detecting complete and joint mixability

DOI10.1016/J.CAM.2014.11.050MaRDI QIDQ484862zbMATH OpenOpenAlexFDO

Authors Giovanni Puccetti, Ruodu Wang

Publication date 8 January 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.11.050

zbMATH Keywords

complete mixabilitydegree of mixabilityjoint mixabilityrearrangement algorithmvariance reduction

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• Advances in complete mixability
• Joint Mixability
• Studying mixability with supermodular aggregating functions
• Current open questions in complete mixability
• The complete mixability and convex minimization problems with monotone marginal densities

Cites work

• Advances in complete mixability
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• 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
• Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3385036 (Why is no real title available?)
• Inequalities for distributions with given marginals
• Multivariate comonotonicity
• On a class of extremal problems in statistics
• On the \(n\)-coupling problem
• Prescribing a System of Random Variables by Conditional Distributions
• Risk aggregation with dependence uncertainty
• Sharp bounds for sums of dependent risks
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Solution of a statistical optimization problem by rearrangement methods
• The complete mixability and convex minimization problems with monotone marginal densities
• The concept of comonotonicity in actuarial science and finance: theory.
• Variance minimization and random variables with constant sum

Cited in

(13)

• Rearrangement algorithm and maximum entropy
• Joint mixability of some integer matrices
• Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
• Extremal dependence concepts
• Dual utilities on risk aggregation under dependence uncertainty
• Centers of probability measures without the mean
• Reducing model risk via positive and negative dependence assumptions
• Studying mixability with supermodular aggregating functions
• Joint Mixability
• General convex order on risk aggregation
• Current open questions in complete mixability
• Algorithms for finding copulas minimizing convex functions of sums
• The impact of correlation on (Range) Value-at-Risk

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