کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076718 1374098 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
General lower bounds on convex functionals of aggregate sums
ترجمه فارسی عنوان
مرزهای پایین عمومی بر روی کارکردهای محدب از مجموع مبالغ
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
The determination of the dependence structure giving rise to the minimal convex sum in a general Fréchet space is a practical, yet challenging problem in quantitative risk management. In this article, we consider the closely related problem of finding lower bounds on three kinds of convex functionals, namely, convex expectations, Tail Value-at-Risk and the Haezendonck-Goovaerts risk measure, of a sum of random variables with arbitrary distributions. The sharpness of the lower bounds on the first two types of convex functionals is characterized via the extreme negative dependence structure of mutual exclusivity. Compared to existing results in the literature, our new lower bounds enjoy the advantages of generality and analytic tractability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 884-896
نویسندگان
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