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

DOI10.1016/J.INSMATHECO.2010.09.004MaRDI QIDQ2276205zbMATH OpenOpenAlexFDO

Authors 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

copula functionssum of dependent random variablesreinsurance

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3595965 (Why is no real title available?)
• A Copula-Based Model of the Term Structure of CDO Tranches
• An introduction to copulas.
• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
• Stochastic bounds on sums of dependent risks

Cited in

(16)

• Bounds on the coarseness of random sums
• A class of claim distributions: Properties, characterizations and applications to insurance claim data
• Simple risk measure calculations for sums of positive random variables
• On a class of distributions stable under random summation
• On some compound distributions with Borel summands
• Fast nonparametric estimation for convolutions of densities
• COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
• More on the distribution of the sum of uniform random variables
• Reconstruction of conditional expectations from product moments with applications
• On the control of the difference between two Brownian motions: a dynamic copula approach
• Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
• О больших и сверхбольших уклонениях сумм независимых случайных векторов при выполнении условия Крамера. I
• Estimation for the convolution of several multidimensional densities
• On finite-dimensional distributions of a random element conditioned by the sum of random elements
• On sums of dependent random lifetimes under the time-transformed exponential model
• On the distribution of sums of random variables with copula-induced dependence

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