Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

DOI10.1080/03461238.2011.558186zbMath1327.60047OpenAlexW2121464276MaRDI QIDQ2868599

Ka Chun Cheung, Steven Vanduffel

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/183825

zbMATH Keywords

convex ordercomonotonic vectormaximal sumupper comonotonic vectorvariance order

Mathematics Subject Classification ID

Related Items (6)

General convex order on risk aggregation ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ The herd behavior index: a new measure for the implied degree of co-movement in stock markets ⋮ Characterizing a comonotonic random vector by the distribution of the sum of its components ⋮ Current open questions in complete mixability ⋮ Characterization of upper comonotonicity via tail convex order

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