Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

DOI10.1080/03461238.2011.558186zbMATH Open1327.60047OpenAlexW2121464276MaRDI QIDQ2868599FDOQ2868599

Authors: K. C. Cheung, Steven Vanduffel 

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/183825

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zbMATH Keywords

convex ordercomonotonic vectormaximal sumupper comonotonic vectorvariance order

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Characterizations of Conditional Comonotonicity
• Upper comonotonicity
• Upper comonotonicity and convex upper bounds for sums of random variables
• Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
• Improved convex upper bound via conditional comonotonicity

Cited In (15)

• Choosing joint distributions so that the variance of the sum is small
• Tail mutual exclusivity and Tail-VaR lower bounds
• General convex order on risk aggregation
• Characterization of upper comonotonicity via tail convex order
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Upper and lower bounds for sums of random variables
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Current open questions in complete mixability
• Upper comonotonicity and convex upper bounds for sums of random variables
• Quantifying the error of convex order bounds for truncated first moments
• General lower bounds on convex functionals of aggregate sums
• Sharp Bounds on the Largest of some Linear Combinations of Random Variables with Given Marginal Distributions
• Improved convex upper bound via conditional comonotonicity
• On the distribution of the (un)bounded sum of random variables

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