The complete mixability and convex minimization problems with monotone marginal densities
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Publication:634547
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- Publication:4939329
- scientific article; zbMATH DE number 3932824
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Cited in
(72)- Negative dependence concept in copulas and the marginal free herd behavior index
- Dual utilities on risk aggregation under dependence uncertainty
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Model risk in credit risk
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Current open questions in complete mixability
- General lower bounds on convex functionals of aggregate sums
- Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
- On aggregation sets and lower-convex sets
- Studying mixability with supermodular aggregating functions
- Centers of probability measures without the mean
- Diversification limit of quantiles under dependence uncertainty
- Bounds on total economic capital: the DNB case study
- A review on ambiguity in stochastic portfolio optimization
- Range value-at-risk bounds for unimodal distributions under partial information
- Robustness to dependency in portfolio optimization using overlapping marginals
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- On sums of two counter-monotonic risks
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Correlation matrices with average constraints
- A model-free approach to multivariate option pricing
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- Monotony of Lloyd's method II for log-concave density and convex error weighting function (Corresp.)
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- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Robust Actuarial Risk Analysis
- VaR bounds in models with partial dependence information on subgroups
- Worst-case range value-at-risk with partial information
- Admissible ways of merging \(p\)-values under arbitrary dependence
- Robustness regions for measures of risk aggregation
- Risk aggregation with dependence uncertainty
- Risk bounds for factor models
- Advances in complete mixability
- Extreme negative dependence and risk aggregation
- Rearrangement algorithm and maximum entropy
- Reducing model risk via positive and negative dependence assumptions
- Subadditivity of value-at-risk for Bernoulli random variables
- Dependence uncertainty for aggregate risk: examples and simple bounds
- Sharp bounds on the expected shortfall for a sum of dependent random variables
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- Robust risk management via multi-marginal optimal transport
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