Simple risk measure calculations for sums of positive random variables (Q2446008): Difference between revisions

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+The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
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+The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
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+Copula based hierarchical risk aggregation through sample reordering
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+Bounds for functions of multivariate risks
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+Bounds for the sum of dependent risks having overlapping marginals
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+Decision principles derived from risk measures
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+Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation
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+On a correlated aggregate claims model with thinning-dependence structure
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