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The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

  • Published:2011-10-04 Issue:5-6 Volume:84 Page:569-597
  • ISSN:1744-2508
  • Container-title:Stochastics
  • language:en
  • Short-container-title:Stochastics

Author:

Arbenz Philipp1,Embrechts Paul2,Puccetti Giovanni3

Affiliation:

1. a Department of Mathematics , ETH Zurich , 8092 , Zurich , Switzerland

2. b Swiss Finance Institute, Department of Mathematics , ETH Zurich , 8092 , Zurich , Switzerland

3. c Department of Mathematics for Decisions , University of Firenze , 50134 , Firenze , Italy

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

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2. Computation of distributions of statistics by means of Markov chains;Discrete Mathematics and Applications;2022-08-01

3. Simulation methods for robust risk assessment and the distorted mix approach;European Journal of Operational Research;2022-04

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5. A Conversation With Paul Embrechts;International Statistical Review;2020-10-19
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