Efficient simulation of tail probabilities for sums of log-elliptical risks
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference23 articles.
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4. Optimal approximations for risk measures of sums of lognormals based on conditional expectations;Vanduffel;J. Comput. Appl. Math.,2008
5. Aggregation of rapidly varying risks and asymptotic independence;Mitra;Adv. Appl. Probab.,2009
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