Extreme Negative Dependence and Risk Aggregation
Probability
2015-07-28 v1
Abstract
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. The END structure, as a new benchmark for negative dependence, is comparable to comonotonicity and independence. We show that an END sequence always exists for any given marginal distributions with a finite mean and we provide a probabilistic construction. Through such a construction, the partial sum of identically distributed but dependent random variables is controlled by a random variable that depends only on the marginal distribution of the sequence. The new concept and derived results are used to obtain asymptotic bounds for risk aggregation with dependence uncertainty.
Cite
@article{arxiv.1407.6848,
title = {Extreme Negative Dependence and Risk Aggregation},
author = {Bin Wang and Ruodu Wang},
journal= {arXiv preprint arXiv:1407.6848},
year = {2015}
}