Related papers: Pairwise counter-monotonicity
The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly…
A joint mix is a random vector with a constant component-wise sum. The dependence structure of a joint mix minimizes some common objectives such as the variance of the component-wise sum, and it is regarded as a concept of extremal negative…
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called partial comonotonicity, is developed, which nests the existing…
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…
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…
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
We provide a geometrical characterization of extremal negative dependence as a convex polytope in the simplex of multidimensional Bernoulli distributions, and we prove that it is an antichain that satisfies some minimality conditions with…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
In a bivariate setting, we consider the problem of detecting a sparse contamination or mixture component, where the effect manifests itself as a positive dependence between the variables, which are otherwise independent in the main…
We analyze various uncertainty measures for spatial diffusion processes. In this manifestly non-quantum setting, we focus on the existence issue of complementary pairs whose joint dispersion measure has strictly positive lower bound.
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…
There are numerous applications which involve modeling multi-dimensional count data, notably in actuarial science and risk management. When such data exhibit an excess of zeros, common count models are no longer suitable. With multivariate…
We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be…
Entanglement negativity is a measure of mixed-state entanglement increasingly used to investigate and characterize emerging quantum many-body phenomena, including quantum criticality and topological order. We present two results for the…
We introduce the coverage correlation coefficient, a novel nonparametric measure of statistical association designed to quantifies the extent to which two random variables have a joint distribution concentrated on a singular subset with…
We present a strong-weak coupling duality for quantum mechanical potentials. Similarly to what happens in quantum field theory, it relates two problems with inverse couplings, leading to a mapping of the strong coupling regime into the weak…
We show that probabilistic equivalence of a regret-based preference relationship over random variables is implied by a weak form of continuity and monotonicity.
We consider object allocation problems with capacities (see, e.g., Abdulkadiroglu and Sonmez, 1998; Basteck, 2025) where objects have to be assigned to agents. We show that if a lottery rule satisfies ex-post non-wastefulness and…
This paper focuses on the extreme-value problem for Shannon entropy of the joint distribution with given marginals. It is proved that the minimum-entropy coupling must be of order-preserving, while the maximum-entropy coupling coincides…