2014/07/25 by Bin Wang, Ruodu Wang · 1 citation
Mathematics · #math.PR
published as Journal of Multivariate Analysis, 136, 12-25, 2015
arxiv created 2014/07/25 · arxiv updated 2015/07/28
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.