Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions

DOI10.1016/j.jmva.2015.07.008zbMath1327.62274arXiv1508.02749OpenAlexW3022464093MaRDI QIDQ746883

Georg Mainik

Publication date: 21 October 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02749

zbMATH Keywords

Latin hypercube samplingempirical copularisk aggregationfunctional CLTempirical marginsIman-Conoversum distribution

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas ⋮ Hierarchical Probabilistic Forecasting of Electricity Demand With Smart Meter Data ⋮ Rank-based methods for modeling dependence between loss triangles

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