On the distribution of sums of random variables with copula-induced dependence

DOI10.1016/j.insmatheco.2014.08.002zbMath1323.62020MaRDI QIDQ2514603

Klaus Herrmann, Irène Gijbels

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.002

zbMATH Keywords

copula; value-at-risk; path integration; expected shortfall; dependence; sums of random variables; (G)AEP algorithm; aggregation of risk

Mathematics Subject Classification ID

62H99: Multivariate analysis

62E15: Exact distribution theory in statistics

62E17: Approximations to statistical distributions (nonasymptotic)

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