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

DOI10.1080/03461238.2011.558186zbMath1327.60047MaRDI QIDQ2868599

Ka Chun 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

zbMATH Keywords

convex order; comonotonic vector; maximal sum; upper comonotonic vector; variance order

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E10: Characterization and structure theory of statistical distributions

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