On aggregation sets and lower-convex sets

DOI10.1016/j.jmva.2014.12.001zbMath1321.60033OpenAlexW2078251720MaRDI QIDQ2350046

Tiantian Mao, Ruodu Wang

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.001

zbMATH Keywords

comonotonicityconvex orderdependence uncertaintyFréchet classesaggregation set

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (5)

Automatic Fatou property of law-invariant risk measures ⋮ Current open questions in complete mixability ⋮ Robustness regions for measures of risk aggregation ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Sums of standard uniform random variables

Cites Work

• The complete mixability and convex minimization problems with monotone marginal densities
• Fusions of a probability distribution
• The concept of comonotonicity in actuarial science and finance: theory.
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk aggregation with dependence uncertainty
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Extreme negative dependence and risk aggregation
• Mathematical Risk Analysis
• Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables
• Stochastic Finance
• How Superadditive Can a Risk Measure Be?
• The Dual Theory of Choice under Risk
• Duality Theory and Transfers for Stochastic Order Relations
• The Existence of Probability Measures with Given Marginals
• Probability
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