On the distribution of the (un)bounded sum of random variables

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

zbMATH Keywords

reinsurancecopula functionssum of dependent random variables

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items

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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• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
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• 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