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Scandinavian Actuarial Journal Volume 2013, 2013 - Issue 2
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Original Article

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

Ka Chun Cheung Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong
&
Steven Vanduffel Faculty of Economics, Vrije Universiteit Brussel (VUB), Pleinlaan 2, BE-1050, Brussels, BelgiumCorrespondence[email protected]
Pages 103-118 | Accepted 02 Nov 2010, Published online: 04 Mar 2011

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Daniël Linders & Fan Yang. (2017) Aggregating Risks with Partial Dependence Information. North American Actuarial Journal 21:4, pages 565-579.
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Carole Bernard, Ludger Rüschendorf, Steven Vanduffel & Jing Yao. (2017) How robust is the value-at-risk of credit risk portfolios?. The European Journal of Finance 23:6, pages 507-534.
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Ka Chun Cheung, Michel Denuit & Jan Dhaene. (2017) Tail mutual exclusivity and Tail-VaR lower bounds. Scandinavian Actuarial Journal 2017:1, pages 88-104.
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Edgars Jakobsons, Xiaoying Han & Ruodu Wang. (2016) General convex order on risk aggregation. Scandinavian Actuarial Journal 2016:8, pages 713-740.
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Ka Chun Cheung, Jan Dhaene, Alexander Kukush & Daniël Linders. (2015) Ordered random vectors and equality in distribution. Scandinavian Actuarial Journal 2015:3, pages 221-244.
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Ru-Han Chen, Longguang Li, Jian Zhang, Wenyi Zhang & Jing Zhou. (2022) On the Capacity of MISO Optical Intensity Channels With Per-Antenna Intensity Constraints. IEEE Transactions on Information Theory 68:6, pages 3920-3941.
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Han Wang, YanChun Yao, XiaoLing Dai, ZhouPeng Chen, Jianxian Wu, GuangLong Qiu & Ting Feng. (2022) How do ecological protection policies affect the restriction of coastal development rights? Analysis of choice preference based on choice experiment. Marine Policy 136, pages 104905.
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Shyamolina Ghosh, Kathryn L. Cottingham & Daniel C. Reuman. (2021) Species relationships in the extremes and their influence on community stability. Philosophical Transactions of the Royal Society B: Biological Sciences 376:1835.
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Alfonso J. Bello, Julio Mulero, Miguel A. Sordo & Alfonso Suárez-Llorens. (2020) On Partial Stochastic Comparisons Based on Tail Values at Risk. Mathematics 8:7, pages 1181.
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Carole Bernard, Michel Denuit & Steven Vanduffel. (2018) MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION. Journal of Risk and Insurance 85:3, pages 843-863.
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Xavier Milhaud, Victorien Poncelet & Clement Saillard. (2018) Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity. Risks 6:2, pages 36.
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Woojoo Lee & Jae Youn Ahn. (2017) Measuring herd behavior: properties and pitfalls. Dependence Modeling 5:1, pages 316-329.
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Carole Bernard, Ludger Rüschendorf & Steven Vanduffel. (2017) Value-at-Risk Bounds With Variance Constraints. Journal of Risk and Insurance 84:3, pages 923-959.
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Jae Youn Ahn. (2015) Negative dependence concept in copulas and the marginal free herd behavior index. Journal of Computational and Applied Mathematics 288, pages 304-322.
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Woojoo Lee & Jae Youn Ahn. (2015) Financial interpretation of herd behavior index and its statistical estimation. Journal of the Korean Statistical Society 44:2, pages 295-311.
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Ruodu Wang. (2015) Current open questions in complete mixability. Probability Surveys 12:none.
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Carole Bernard, Xiao Jiang & Ruodu Wang. (2014) Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics 54, pages 93-108.
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Ka Chun Cheung & Ambrose Lo. (2013) Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order. Insurance: Mathematics and Economics 53:2, pages 334-342.
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Daniil Linders & Fan Yang. (2016) Aggregating Risks with Partial Dependence Information. SSRN Electronic Journal.
Crossref
Ka Chun Cheung, Michel Denuit & Jan Dhaene. (2015) Tail Mutual Exclusivity and Tail-VaR Lower Bounds. SSRN Electronic Journal.
Crossref
Carole Bernard, Ludger RRschendorf, Steven Vanduffel & Jing Yao. (2015) How Robust is the Value-at-Risk of Credit Risk Portfolios?. SSRN Electronic Journal.
Crossref
Carole Bernard, Michel Denuit & Steven Vanduffel. (2014) Measuring Portfolio Risk Under Partial Dependence Information. SSRN Electronic Journal.
Crossref
Carole Bernard, Ludger RRschendorf & Steven Vanduffel. (2013) Value-at-Risk Bounds with Variance Constraints. SSRN Electronic Journal.
Crossref
Ka Chun Cheung, Jan Dhaene, Alexander Kukush & Daniël Linders. (2013) Ordered Random Vectors and Equality in Distribution. SSRN Electronic Journal.
Crossref
Jan Dhaene, Daniël Linders, Wim Schoutens & David Vyncke. (2011) The Herd Behavior Index: A New Measure for Systemic Risk in Financial Markets. SSRN Electronic Journal.
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