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Advances in Complete Mixability

Part of: Distribution theory - Probability Mathematical economics

Published online by Cambridge University Press:  04 February 2016

Giovanni Puccetti ,
Bin Wang  and
Ruodu Wang
Giovanni Puccetti*
Affiliation:
University of Firenze
Bin Wang*
Affiliation:
Peking University
Ruodu Wang*
Affiliation:
Georgia Institute of Technology
*
∗ Postal address: Department of Mathematics for Decision Theory, University of Firenze, via Lombroso 6/17, 50134 Firenze, Italy.
∗∗ Postal address: Department of Mathematics, Peking University, Beijing, 100871, P. R. China.
∗∗∗ Postal address: School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332-0160, USA. Email address: ruodu.wang@math.gatech.edu
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Abstract

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The concept of complete mixability is relevant to some problems of optimal couplings with important applications in quantitative risk management. In this paper we prove new properties of the set of completely mixable distributions, including a completeness and a decomposition theorem. We also show that distributions with a concave density and radially symmetric distributions are completely mixable.

Keywords

Complete mixabilitymultivariate dependenceconcave densityradially symmetric distributionoptimal coupling

MSC classification

Primary: 60E05: Distributions
Secondary: 91B30: Risk theory, insurance
Type
Research Article
Information
Journal of Applied Probability , Volume 49 , Issue 2 , June 2012 , pp. 430 - 440
Copyright
© Applied Probability Trust 

References

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