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

Forthcoming in Commun. Stat. Simulat.

13 Pages Posted: 7 Aug 2014

See all articles by Giovanni Puccetti

Giovanni Puccetti

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)

Ludger Rüschendorf

University of Freiburg

Date Written: 2015

Abstract

We show that the rearrangement algorithm introduced in Puccetti and Rüschendorf (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.

Keywords: Moment bounds for dependent risks, distribution functions, rearrangements

JEL Classification: [AMS] 60E05, 91B30

Suggested Citation

Puccetti, Giovanni and Rüschendorf, Ludger, Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals (2015). Forthcoming in Commun. Stat. Simulat.. Available at SSRN: https://ssrn.com/abstract=2476808

Giovanni Puccetti (Contact Author)

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) ( email )

Via Conservatorio, 7
Milan, 20122
Italy

Ludger Rüschendorf

University of Freiburg ( email )

Fahnenbergplatz
Freiburg, D-79085
Germany

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