Computing the probability of union in the $n$-dimensional Euclidean space for application of the multivariate quantile: $p$-level efficient points

DOI10.1016/j.orl.2017.03.007zbMath1409.60030OpenAlexW2602472611MaRDI QIDQ1728220

Jinwook Lee

Publication date: 22 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.03.007

zbMATH Keywords

binomial momentsmultivariate quantiles$p$-efficient points (multivariate value-at-risk)probability of union in $R^n$

Mathematics Subject Classification ID

Related Items (1)

Risk tomography

Cites Work

• Unnamed Item
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• Closed Form Two-Sided Bounds for Probabilities that At Least r and Exactly r Out of n Events Occur
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Concavity and efficient points of discrete distributions in probabilistic programming.

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