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math.ST2026
Sharp bounds for products of dependent random variables
Christopher Blier-Wong, Jinghui Chen
We study the sharp bounds on when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing…
math.ST2026
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…
math.ST2026
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…