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

DOI10.1080/03461238.2011.558186MaRDI QIDQ2868599zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
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• Conditional comonotonicity
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• Non-additive measure and integral
• Notes on the Wasserstein metric in Hilbert spaces
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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
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Characterization of upper comonotonicity via tail convex order
• 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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