Random variables with maximum sums
From MaRDI portal
Publication:3948380
DOI10.2307/1426677zbMath0487.60026OpenAlexW2313814802MaRDI QIDQ3948380
Publication date: 1982
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1426677
Related Items (63)
Copula-based grouped risk aggregation under mixed operation. ⋮ CLT For U-statistics With Growing Dimension ⋮ Risk bounds for factor models ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Diversification limit of quantiles under dependence uncertainty ⋮ Extremal Probability Bounds in Combinatorial Optimization ⋮ On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ Joint Mixability ⋮ Bounds for functions of dependent risks ⋮ Comparison of multivariate risks and positive dependence ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables ⋮ Combining independent p-values in replicability analysis: a comparative study ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Polynomial-time algorithms for multimarginal optimal transport problems with structure ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Large‐scale simultaneous inference under dependence ⋮ A Method for Testing Additivity in Unreplicated Two‐Way Layouts Based on Combining Multiple Interaction Tests ⋮ Uniform inference for value functions ⋮ Permutation tests using arbitrary permutation distributions ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Distribution-Free Prediction Sets for Two-Layer Hierarchical Models ⋮ Computation of sharp bounds on the distribution of a function of dependent risks ⋮ Training-conditional coverage for distribution-free predictive inference ⋮ What is a Randomization Test? ⋮ Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities ⋮ Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values ⋮ A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf ⋮ The complete mixability and convex minimization problems with monotone marginal densities ⋮ Sharp bounds on the expected shortfall for a sum of dependent random variables ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Exact tests via multiple data splitting ⋮ Stochastic bounds on sums of dependent risks ⋮ Interactive martingale tests for the global null ⋮ Worst case risk measurement: back to the future? ⋮ Equivalent distortion risk measures on moment spaces ⋮ Bivariate lower and upper orthant value-at-risk ⋮ Current open questions in complete mixability ⋮ Extreme VaR scenarios in higher dimensions ⋮ Partial identification of functionals of the joint distribution of ``potential outcomes ⋮ Sharp Bounds for Sums of Dependent Risks ⋮ SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE ⋮ Analytical Bounds for two Value-at-Risk Functionals ⋮ Bounds for functions of multivariate risks ⋮ Bounds on distributional treatment effect parameters using panel data with an application on job displacement ⋮ Multi Split Conformal Prediction ⋮ Weak comonotonicity ⋮ Robustness regions for measures of risk aggregation ⋮ Extremal dependence concepts ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Worst VaR scenarios with given marginals and measures of association ⋮ Worst VaR scenarios: A remark ⋮ Sums of standard uniform random variables ⋮ Bounds for the sum of dependent risks having overlapping marginals ⋮ Worst VaR scenarios ⋮ Bounds on the value-at-risk for the sum of possibly dependent risks ⋮ Partial identification of the treatment effect distribution and its functionals ⋮ On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results ⋮ Comparison of conditional distributions in portfolios of dependent risks ⋮ Averaging \(p\)-values under exchangeability
This page was built for publication: Random variables with maximum sums