Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
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Publication:5252861
DOI10.1080/03610918.2013.791368zbMath1314.60055OpenAlexW2109276847MaRDI QIDQ5252861
Ludger Rüschendorf, Giovanni Puccetti
Publication date: 3 June 2015
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.791368
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Related Items (6)
Optimal multivariate financial decision making ⋮ Detecting complete and joint mixability ⋮ Bounds on integrals with respect to multivariate copulas ⋮ An algorithm to approximate the optimal expected inner product of two vectors with given marginals ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ Studying mixability with supermodular aggregating functions
Cites Work
- On the approximation of copulas via shuffles of Min
- The complete mixability and convex minimization problems with monotone marginal densities
- Solution of a statistical optimization problem by rearrangement methods
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Computation of sharp bounds on the distribution of a function of dependent risks
- L-superadditive structure functions
- Sharp Bounds for Sums of Dependent Risks
- Rearrangement Inequalities
- Correlation and Complete Dependence of Random Variables
- An Inequality for Rearrangements
- Inequalities: theory of majorization and its applications
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