Thursday, November 10, 2011 - 3:05pm
1 hour (actually 50 minutes)
The marginal distribution of identically distributed random variables having a constant sum is called a completely mixable distribution. In this talk, the concept, history and present research of the complete mixability will be introduced. I will discuss its relevance to existing problems in the Frechet class, i.e. problems with known marginal distributions but unknown joint distribution and its applications in quantitative risk management.