Second order risk aggregation with the Bernstein copula (Q2513630): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2014.07.002
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+W1983577531
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@@ Property / cites work @@
+Q3331506
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+Tail asymptotics for the sum of two heavy-tailed dependent risks
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+Diversification of aggregate dependent risks
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+Asymptotics of sums of lognormal random variables with Gaussian copula
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+On the Tail Behavior of Sums of Dependent Risks
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+Limit theory for bilinear processes with heavy-tailed noise
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+On Sums of Conditionally Independent Subexponential Random Variables
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+Asymptotic tail probabilities of sums of dependent subexponential random variables
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+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
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+Sums of Dependent Nonnegative Random Variables with Subexponential Tails
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+Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
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+Asymptotic results for the sum of dependent non-identically distributed random variables
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+Some asymptotic results for sums of dependent random variables, with actuarial applications
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+Aggregation of rapidly varying risks and asymptotic independence
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+An introduction to copulas.
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+THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
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+Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
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+Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
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