کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1145603 | 1489664 | 2015 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Extreme negative dependence and risk aggregation
ترجمه فارسی عنوان
وابستگی شدید منفی و تجمع ریسک
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
چکیده انگلیسی
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. An END sequence has a partial sum which, subtracted by its mean, does not diverge as the number of random variables goes to infinity. We show that an END sequence always exists for any given marginal distributions with a finite mean and we provide a probabilistic construction. Through such a construction, the partial sum of identically distributed but dependent random variables is controlled by a random variable that depends only on the marginal distribution of the sequence. We provide some properties and examples of our construction. The new concept and derived results are used to obtain asymptotic bounds for risk aggregation with dependence uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 136, April 2015, Pages 12-25
Journal: Journal of Multivariate Analysis - Volume 136, April 2015, Pages 12-25
نویسندگان
Bin Wang, Ruodu Wang,