On the distribution of the (un)bounded sum of random variables
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Publication:2276205
DOI10.1016/j.insmatheco.2010.09.004zbMath1218.60009OpenAlexW1978066088MaRDI QIDQ2276205
Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.09.004
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Related Items (7)
COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ On sums of dependent random lifetimes under the time-transformed exponential model ⋮ Reconstruction of conditional expectations from product moments with applications ⋮ Simple risk measure calculations for sums of positive random variables ⋮ On the distribution of sums of random variables with copula-induced dependence ⋮ Fast nonparametric estimation for convolutions of densities
Cites Work
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- An introduction to copulas.
- Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
- Stochastic bounds on sums of dependent risks
- A Copula-Based Model of the Term Structure of CDO Tranches
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
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