On the distribution of sums of random variables with copula-induced dependence
Irène Gijbels; Klaus Herrmann
| Year of publication: |
2014
|
|---|---|
| Authors: | Gijbels, Irène ; Herrmann, Klaus |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 27-44
|
| Subject: | (G)AEP algorithm | Aggregation of risk | Copula | Dependence | Expected shortfall | Path integration | Sums of random variables | Value-at-risk | Risikomaß | Risk measure | Theorie | Theory | Zufallsvariable | Random variable | Multivariate Verteilung | Multivariate distribution | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010469189