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Max-sum equivalence of conditionally dependent random variables
Institution:1. School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China;2. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 211815, China;3. School of Mathematics, Soochow University, Suzhou 215006, China;1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China;2. Department of Finance, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong;1. School of Economics and Management, Southeast University, Nanjing, 210029, PR China;2. Department of Statistics, Nanjing Audit University, Nanjing, 211815, PR China;3. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;1. Department of Statistics, Nanjing Audit University, Nanjing, 211815, China;2. School of Economics and Management, Southeast University, Nanjing, 210096, China;3. Department of Statistics and Actuarial Science, Chongqing University, 401331, China;4. School of Statistics and Mathematics, Zhejiang Gongshang University, 310018, China;5. School of Mathematical Sciences, Soochow University, Suzhou, 215006, China;1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 210029, China;2. School of Economics and Management, Southeast University, Nanjing, 210096, China;3. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;4. Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, Vilnius LT-08663, Lithuania;1. School of Mathematical Sciences, Anhui University, Hefei 230601, PR China;2. Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore 637371, Singapore
Abstract:In this paper, we prove the max-sum equivalence of random variables satisfying two conditional dependence assumptions. Besides, we also discuss the interrelationship between the above two conditional dependence assumptions. The obtained results improve and generalize some existing results.
Keywords:Conditional dependence  Inclusion relationship  Max-sum equivalence  Subexponentiality
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