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  • Search: subject:"(G)AEP algorithm"
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Subject
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(G)AEP algorithm 2 Aggregation of risk 2 Copula 2 Dependence 2 Expected shortfall 2 Path integration 2 Sums of random variables 2 Value-at-risk 2 Multivariate Verteilung 1 Multivariate distribution 1 Probability theory 1 Random variable 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Wahrscheinlichkeitsrechnung 1 Zeitreihenanalyse 1 Zufallsvariable 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Gijbels, Irène 2 Herrmann, Klaus 2
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 27-44
We investigate distributional properties of the sum of d possibly unbounded random variables. The joint distribution of the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different dependence structures between the summands. The obtained...
Persistent link: https://www.econbiz.de/10011116644
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Cover Image
On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44
Persistent link: https://www.econbiz.de/10010469189
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