Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables

DOI10.1239/JAP/1409932674zbMath1320.60045OpenAlexW2147060207MaRDI QIDQ2923436

Ruodu Wang

Publication date: 15 October 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1409932674

zbMATH Keywords

value at riskcomplete mixabilitymodeling uncertaintydependence bound

Mathematics Subject Classification ID

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

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VaR bounds in models with partial dependence information on subgroups ⋮ Risk bounds for factor models ⋮ Extremal Probability Bounds in Combinatorial Optimization ⋮ How Superadditive Can a Risk Measure Be? ⋮ Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Unnamed Item ⋮ Risk Bounds and Partial Dependence Information ⋮ Current open questions in complete mixability ⋮ Extremal dependence concepts ⋮ On aggregation sets and lower-convex sets

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