Advances in complete mixability
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Publication:2897152
DOI10.1239/JAP/1339878796zbMATH Open1245.60020OpenAlexW2000473663MaRDI QIDQ2897152FDOQ2897152
Authors: Giovanni Puccetti, Bin Wang, Ruodu Wang 
Publication date: 8 July 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1339878796
Recommendations
- Optimal mixing enhancement
- Optimal blending of out-of-specifications substances
- Joint Mixability
- Towards the design of an optimal mixer
- Mixing properties of modified additive generators
- On the cost efficiency of mixing optimization
- Robust mixing
- Robust Mixing
- Mixing Enhancement by Optimal Flow Advection
optimal couplingcomplete mixabilitymultivariate dependenceradially symmetric distributionconcave density
Cites Work
- The complete mixability and convex minimization problems with monotone marginal densities
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Directional dependence in multivariate distributions
- Choosing joint distributions so that the variance of the sum is small
- Variance minimization and random variables with constant sum
Cited In (25)
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- On the multidimensional extension of countermonotonicity and its applications
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Centers of probability measures without the mean
- Tail mutual exclusivity and Tail-VaR lower bounds
- General convex order on risk aggregation
- Studying mixability with supermodular aggregating functions
- Extremal dependence concepts
- The distributions of the mean of random vectors with fixed marginal distribution
- Dependence uncertainty for aggregate risk: examples and simple bounds
- Joint Mixability
- Sharp bounds for sums of dependent risks
- Coskewness under dependence uncertainty
- A model-free approach to multivariate option pricing
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- Risk aggregation with dependence uncertainty
- Measuring herd behavior: properties and pitfalls
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Quantile of a mixture with application to model risk assessment
- Detecting complete and joint mixability
- Current open questions in complete mixability
- A note on joint mix random vectors
- General lower bounds on convex functionals of aggregate sums
- Bounds on total economic capital: the DNB case study
- Negative dependence concept in copulas and the marginal free herd behavior index
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