Extreme negative dependence and risk aggregation

DOI10.1016/J.JMVA.2015.01.006zbMATH Open1329.60047arXiv1407.6848OpenAlexW2100282405MaRDI QIDQ2018593FDOQ2018593

Bin Wang, Ruodu Wang

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. The END structure, as a new benchmark for negative dependence, is comparable to comonotonicity and independence. We show that an END sequence always exists for any given marginal distributions with a finite mean and we provide a probabilistic construction. Through such a construction, the partial sum of identically distributed but dependent random variables is controlled by a random variable that depends only on the marginal distribution of the sequence. The new concept and derived results are used to obtain asymptotic bounds for risk aggregation with dependence uncertainty.

Full work available at URL: https://arxiv.org/abs/1407.6848

zbMATH Keywords

central limit theoremvariance reductionnegative dependencesums of random variablesrisk aggregation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• Title not available (Why is that?)
• An introduction to copulas.
• Optimal Transport
• The complete mixability and convex minimization problems with monotone marginal densities
• Stochastic orders
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk aggregation with dependence uncertainty
• Inequalities for distributions with given marginals
• The concept of comonotonicity in actuarial science and finance: theory.
• Mathematical Risk Analysis
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Title not available (Why is that?)
• An Overview of Comonotonicity and Its Applications in Finance and Insurance
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Cited In (14)

• Tail mutual exclusivity and Tail-VaR lower bounds
• On aggregation sets and lower-convex sets
• Extremal dependence concepts
• A review on ambiguity in stochastic portfolio optimization
• Risk bounds for factor models
• Coskewness under dependence uncertainty
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Negative Dependence, Scrambled Nets, and Variance Bounds
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
• ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
• COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY
• How Superadditive Can a Risk Measure Be?
• Characterization, Robustness, and Aggregation of Signed Choquet Integrals

Uses Software

• QRM

This page was built for publication: Extreme negative dependence and risk aggregation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2018593)