Joint Mixability
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Cites work
- scientific article; zbMATH DE number 3070150 (Why is no real title available?)
- Advances in complete mixability
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Bounds for functions of dependent risks
- 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
- Comparison methods for stochastic models and risks
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Detecting complete and joint mixability
- Extremal dependence concepts
- General convex order on risk aggregation
- Inequalities for distributions with given marginals
- Multivariate concordance
- On a class of extremal problems in statistics
- On the theory of elliptically contoured distributions
- Random variables with maximum sums
- Risk aggregation with dependence uncertainty
- Stochastic finance. An introduction in discrete time.
- Studying mixability with supermodular aggregating functions
- The Existence of Probability Measures with Given Marginals
- The complete mixability and convex minimization problems with monotone marginal densities
- The safest dependence structure among risks.
- Variance minimization and random variables with constant sum
Cited in
(41)- Worst-case range value-at-risk with partial information
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Centers of probability measures without the mean
- Simultaneous optimal transport
- Random locations of periodic stationary processes
- Averaging p-values under exchangeability
- Admissible ways of merging \(p\)-values under arbitrary dependence
- Studying mixability with supermodular aggregating functions
- Optimal reinsurance with multivariate risks and dependence uncertainty
- General convex order on risk aggregation
- Diversification quotients based on VaR and ES
- Advances in complete mixability
- Joint mixability of some integer matrices
- Risk bounds for factor models
- Extremal probability bounds in combinatorial optimization
- On minimal copulas under the concordance order
- Sums of standard uniform random variables
- Robustness regions for measures of risk aggregation
- A model-free approach to multivariate option pricing
- Coskewness under dependence uncertainty
- Risk bounds with additional information on functionals of the risk vector
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
- Size of the largest sum-free subset of \([n]^3\) and \([n]^4\)
- Multi-level bottleneck assignment problems: complexity and sparsity-exploiting formulations
- Measuring herd behavior: properties and pitfalls
- Robust -quantiles and extremal distributions
- Detecting complete and joint mixability
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence
- Negative dependence in matrix arrangement problems
- Pairwise counter-monotonicity
- Optimizing distortion riskmetrics with distributional uncertainty
- Current open questions in complete mixability
- On sums of two counter-monotonic risks
- A note on joint mix random vectors
- Multivariate countermonotonicity and the minimal copulas
- Dual utilities on risk aggregation under dependence uncertainty
- Decomposing aggregate risk into marginal risks under partial information: A top-down method
- Rearrangement algorithm and maximum entropy
- Ordering and inequalities for mixtures on risk aggregation
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