Sharpness of Fr�chet-bounds

DOI10.1007/BF00535495zbMath0445.60002MaRDI QIDQ3889821

Ludger Rüschendorf

Publication date: 1981

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

duality theorybounds on the probability of measurable setsFrechet-bounds

Mathematics Subject Classification ID

Probabilistic measure theory (60A10)

Related Items (19)

Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ MULTIVARIATE MODELS AND VARIABILITY INTERVALS: A LOCAL RANDOM SET APPROACH ⋮ Heterogeneous impacts in PROGRESA ⋮ Comparison of multivariate risks and positive dependence ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf ⋮ Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance ⋮ Duality theorems for marginal problems ⋮ Sharp Bounds for Sums of Dependent Risks ⋮ On the \(n\)-coupling problem ⋮ Belief functions combination without the assumption of independence of the information sources ⋮ Extremal dependence concepts ⋮ Centers of probability measures without the mean ⋮ Projections of probability measures ⋮ Sharp Bounds on the Largest of some Linear Combinations of Random Variables with Given Marginal Distributions ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ Worst VaR scenarios ⋮ Studying mixability with supermodular aggregating functions ⋮ Optimized Bonferroni approximations of distributionally robust joint chance constraints

Cites Work

• Note on the k-dimensional Jensen inequality
• Bivariate distributions with given marginals
• Funktionen auf Produkträumen mit vorgegebenen Marginal-Funktionen
• Inequalities of the type of Chebyshev and Cramer-Rao and mathematical programming
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• [https://portal.mardi4nfdi.de/wiki/Publication:4148538 Mesures marginales et th�or�me de Ford-Fulkerson]
• A class of dependent random variables and their maxima
• Extremal and Monogenic Additive Set Functions
• The Existence of Probability Measures with Given Marginals
• Some Concepts of Dependence
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