We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained.
Computations of sharp bounds on the distribution of a function of dependent risks / G. Puccetti, L. Rüschendorf. - In: JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. - ISSN 0377-0427. - 236:7(2012 Jan), pp. 1833-1840.
Computations of sharp bounds on the distribution of a function of dependent risks
G. Puccetti
;
2012
Abstract
We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained.
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