Sharp bounds on the expected shortfall for a sum of dependent random variables

Giovanni Puccetti

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1227-1232

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 d random variables having fixed marginal distributions.

Keywords: Dependence bounds; Expected shortfall; Rearrangement algorithm (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (15)

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DOI: 10.1016/j.spl.2013.01.022

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