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Upper and Lower Bounds for Sums of Random Variables

Rob KaasJan DhaeneMarc Goovaerts

出版	SSRN, 2006
URL	http://books.google.com.hk/books?id=S6bczwEACAAJ&hl=&source=gbs_api

註釋

In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +...+ Xn derived by using comonotonicity are sharpened for the case when there exists a random variable Z such that the distribution functions of the Xi, given Z = z, are known. By a similar technique, lower bounds are derived. A numerical application for the case of lognormal random variables is given.