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Sharp bounds for products of dependent random variables
Christopher Blier-Wong, Jinghui Chen
We study the sharp bounds of when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing…
A Laplace-based perspective on conditional mean risk sharing
Christopher Blier-Wong
The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate mode…
Stochastic representation of Sarmanov copulas
Christopher Blier-Wong
Sarmanov copulas offer a simple and tractable way to build multivariate distributions by perturbing the independence copula. They admit closed-form expressions for densities and ma…
Improved thresholds for e-values
Christopher Blier-Wong, Ruodu Wang
The rejection threshold used for e-values and e-processes is by default set to for a guaranteed type-I error control at , based on Markov's and Ville's inequalities. Thi…