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

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.

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Year of publication:	2013
Authors:	Puccetti, Giovanni
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 1227-1232
Publisher:	Elsevier
Subject:	Dependence bounds \| Expected shortfall \| Rearrangement algorithm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039826