Sharp Bounds for Sums of Dependent Risks

DOI10.1239/jap/1363784423zbMath1282.60017OpenAlexW2077596367MaRDI QIDQ4918560

Ludger Rüschendorf, Giovanni Puccetti

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784423

zbMATH Keywords

Fréchet boundmass transportation theorybounds for dependent risks

Mathematics Subject Classification ID

Related Items (29)

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Cites Work

• The complete mixability and convex minimization problems with monotone marginal densities
• Bounds for functions of dependent risks
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Computation of sharp bounds on the distribution of a function of dependent risks
• Advances in Complete Mixability
• [https://portal.mardi4nfdi.de/wiki/Publication:3889821 Sharpness of Fr�chet-bounds]
• On a class of extremal problems in statistics
• Random variables with maximum sums
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed

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