Article ID Journal Published Year Pages File Type
1152168 Statistics & Probability Letters 2013 6 Pages PDF
Abstract

Using a connection between the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) and convex order, we show how to compute the best-possible expected shortfall for the sum of dd random variables having fixed marginal distributions.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Sharp bounds on the expected shortfall for a sum of dependent random variables
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