Advances in Complete Mixability
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Publication:2897152
DOI10.1239/jap/1339878796zbMath1245.60020OpenAlexW2000473663MaRDI QIDQ2897152
Giovanni Puccetti, Ruodu Wang, Bin 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
optimal couplingcomplete mixabilitymultivariate dependenceradially symmetric distributionconcave density
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Related Items (24)
Joint Mixability ⋮ Measuring herd behavior: properties and pitfalls ⋮ A note on joint mix random vectors ⋮ General convex order on risk aggregation ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Coskewness under dependence uncertainty ⋮ Quantile of a mixture with application to model risk assessment ⋮ Sharp bounds on the expected shortfall for a sum of dependent random variables ⋮ Bounds on total economic capital: the DNB case study ⋮ Detecting complete and joint mixability ⋮ Current open questions in complete mixability ⋮ Sharp Bounds for Sums of Dependent Risks ⋮ Risk aggregation with dependence uncertainty ⋮ Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems ⋮ Extremal dependence concepts ⋮ On the multidimensional extension of countermonotonicity and its applications ⋮ A model-free approach to multivariate option pricing ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ Centers of probability measures without the mean ⋮ Studying mixability with supermodular aggregating functions ⋮ Negative dependence concept in copulas and the marginal free herd behavior index
Cites Work
- Unnamed Item
- Directional dependence in multivariate distributions
- 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
- Choosing joint distributions so that the variance of the sum is small
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