Detecting complete and joint mixability

DOI10.1016/j.cam.2014.11.050zbMath1310.60010OpenAlexW2003867177MaRDI QIDQ484862

Giovanni Puccetti, Ruodu Wang

Publication date: 8 January 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.11.050

zbMATH Keywords

variance reductionrearrangement algorithmcomplete mixabilitydegree of mixabilityjoint mixability

Mathematics Subject Classification ID

Related Items (11)

Joint Mixability ⋮ General convex order on risk aggregation ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Rearrangement algorithm and maximum entropy ⋮ Current open questions in complete mixability ⋮ Joint mixability of some integer matrices ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ Extremal dependence concepts ⋮ Algorithms for Finding Copulas Minimizing Convex Functions of Sums ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ Studying mixability with supermodular aggregating functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The complete mixability and convex minimization problems with monotone marginal densities
• On the \(n\)-coupling problem
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Solution of a statistical optimization problem by rearrangement methods
• Multivariate comonotonicity
• Inequalities for distributions with given marginals
• 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
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Risk aggregation with dependence uncertainty
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Computation of sharp bounds on the distribution of a function of dependent risks
• Choosing joint distributions so that the variance of the sum is small
• Advances in Complete Mixability
• On a class of extremal problems in statistics
• Sharp Bounds for Sums of Dependent Risks
• Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
• Prescribing a System of Random Variables by Conditional Distributions

This page was built for publication: Detecting complete and joint mixability