Advances in complete mixability

Journal of Applied Probability

Volumn 49, Issue 2, 2012, Pages 430-440

  Puccetti, Giovanni ^a   Wang, Bin ^b   Wang, Ruodu ^c  

^a UNIVERSITY OF FLORENCE   (Italy)

^b PEKING UNIVERSITY   (China)

^c GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Complete mixability; Concave density; Multivariate dependence; Optimal coupling; Radially symmetric distribution

Indexed keywords

EID: 84872225280     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1339878796     Document Type: Article

References (6)

1. Embrechts, P. and Puccetti, G. (2010). Risk aggregation. In Copula Theory and Its Applications (Lecture Notes Statist. 198), eds P. Bickel et al. Springer, Berlin, pp. 111-126.
2. Knott, M. and Smith, C. (2006). Choosing joint distributions so that the variance of the sum is small. J. Multivariate Anal. 97, 1757-1765.
3. Nelsen, R. B. and Úbeda-Flores, M. (2012). Directional dependence in multivariate distributions. Ann. Inst. Statist. Math. 64, 677-685.
4. Rüschendorf, L. and Uckelmann, L. (2002). Variance minimization and random variables with constant sum. In Distributions with Given Marginals and Statistical Modelling, Dordrecht, Kluwer, pp. 211-222.
5. Wang, B. andWang, R. (2011). The complete mixability and convex minimization problems with monotone marginal densities. J. Multivariate Anal. 102, 1344-1360.
6. Wang, R., Peng, L. and Yang, J. (2011). Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Preprint, Georgia Institute of Technology.