Journal of Applied Probability

Advances in complete mixability

Giovanni Puccetti, Bin Wang, and Ruodu Wang

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Abstract

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.

Article information

Source
J. Appl. Probab., Volume 49, Number 2 (2012), 430-440.

Dates
First available in Project Euclid: 16 June 2012

Permanent link to this document
https://projecteuclid.org/euclid.jap/1339878796

Digital Object Identifier
doi:10.1239/jap/1339878796

Mathematical Reviews number (MathSciNet)
MR2977805

Zentralblatt MATH identifier
1245.60020

Subjects
Primary: 60E05: Distributions: general theory
Secondary: 91B30: Risk theory, insurance

Keywords
Complete mixability multivariate dependence concave density radially symmetric distribution optimal coupling

Citation

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu. Advances in complete mixability. J. Appl. Probab. 49 (2012), no. 2, 430--440. doi:10.1239/jap/1339878796. https://projecteuclid.org/euclid.jap/1339878796


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References

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