Extreme Negative Dependence and Risk Aggregation

Bin Wang; Ruodu Wang

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arXiv · 1407.6848

Extreme Negative Dependence and Risk Aggregation

Bin Wang·Ruodu Wang

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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.

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BibTeX RIS

Bin Wang, Ruodu Wang. 2014-07-25. Extreme Negative Dependence and Risk Aggregation. https://arxiv.org/abs/1407.6848

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