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A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks

  • Published:2014-09 Issue: Volume:130 Page:1-20
  • ISSN:0047-259X
  • Container-title:Journal of Multivariate Analysis
  • language:en
  • Short-container-title:Journal of Multivariate Analysis

Author:

Cossette Hélène,Côté Marie-Pier,Mailhot Mélina,Marceau Etienne

Funder

Natural Sciences and Engineering Research Council of Canada

Fonds de recherche du Québec - Nature et technologies

Chaire en actuariat de l’Université Laval

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference13 articles.

1. The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables;Arbenz;Bernoulli,2011

2. The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables;Arbenz;Stochastics,2012

3. TVaR-based capital allocation with copulas;Bargès;Insur. Math. Econ.,2009

4. M. Galeotti, Computing the probability measure of a symplex via overlapping hypercubes. http://econpapers.repec.org/paper/flowpaper/.

5. Compound Poisson approximations for individual models with dependent risks;Genest;Insur. Math. Econ.,2003

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On sums of two counter-monotonic risks;Insurance: Mathematics and Economics;2020-05

2. Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables;Communications in Statistics - Theory and Methods;2019-03-12

3. Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models;Methodology and Computing in Applied Probability;2018-01-06

4. High level quantile approximations of sums of risks;Dependence Modeling;2015-10-16
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