Extreme negative dependence and risk aggregation

DOI10.1016/J.JMVA.2015.01.006MaRDI QIDQ2018593zbMATH OpenOpenAlexFDO

Authors Bin Wang, Ruodu Wang

Publication date 24 March 2015

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

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)

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.

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Cited in

(14)

• Characterization, robustness, and aggregation of signed Choquet integrals
• On aggregation sets and lower-convex sets
• A review on ambiguity in stochastic portfolio optimization
• How superadditive can a risk measure be?
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Negative dependence, scrambled nets, and variance bounds
• Tail mutual exclusivity and Tail-VaR lower bounds
• Asymptotic equivalence of risk measures under dependence uncertainty
• Risk bounds for factor models
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Extremal dependence concepts
• Coskewness under dependence uncertainty
• Collective risk models with dependence uncertainty
• Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times

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Uses Software

• QRM

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