3 papers
math.PR2017
On Majorization in Dependence Modeling
Michael Preischl
We apply concepts of majorization theory to derive new insights in the field of extremal dependence structures. In particular, we consider the Rearrangement Algorithm by Puccetti a…
math.PR2017
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…
math.OC2016
Bounds on Integrals with Respect to Multivariate Copulas
Michael Preischl
Finding upper and lower bounds to integrals with respect to copulas is a quite prominent problem in applied probability. In their 2014 paper, Hofer and Iaco showed how particular t…