Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals

DOI10.1080/03610918.2013.791368zbMath1314.60055MaRDI 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

zbMATH Keywords

rearrangements; distribution functions; moment bounds for dependent risks

Mathematics Subject Classification ID

60E05: Probability distributions: general theory

Related Items

Optimal multivariate financial decision making, An algorithm to approximate the optimal expected inner product of two vectors with given marginals, Detecting complete and joint mixability, Bounds on integrals with respect to multivariate copulas, Reducing model risk via positive and negative dependence assumptions, Studying mixability with supermodular aggregating functions

Cites Work

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• 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