Weshowthattherearrangementalgorithm(RA)introducedinPuccettiandRu ̈schendorf (2012) to compute distributional bounds can be used also to compute sharp lower and upper bounds on the expected value of a supermodular function of d random variables having fixed marginal distributions. Compared to the analytical methods existing in the literature the algorithm is widely applicable, more easily obtained and gives insight into the dependence structures attaining the bounds.

Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals / Giovanni Puccetti; Ludger Rüschendorf. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 0361-0918. - ELETTRONICO. - 44:(2015), pp. 705-718. [10.1080/03610918.2013.791368]

Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals

PUCCETTI, GIOVANNI;
2015

Abstract

Weshowthattherearrangementalgorithm(RA)introducedinPuccettiandRu ̈schendorf (2012) to compute distributional bounds can be used also to compute sharp lower and upper bounds on the expected value of a supermodular function of d random variables having fixed marginal distributions. Compared to the analytical methods existing in the literature the algorithm is widely applicable, more easily obtained and gives insight into the dependence structures attaining the bounds.
44
705
718
Giovanni Puccetti; Ludger Rüschendorf
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2158/920931
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