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On the distribution of sums of random variables with copula-induced dependence
Affiliation:1. Department of Mathematics and Statistics, Indian Institute of Technology Kanpur, Pin 208016, India;2. Department of Statistics and Operations Research, University of Murcia, 30100 Murcia, Spain;3. Regional Campus of International Excellence “Campus Mare Nostrum”, University of Murcia, 30100 Murcia, Spain;1. Shanghai Advanced Institute of Finance, Shanghai Jiatong University, Shanghai 200030, China;2. Department of Applied Finance, Yuanpei University of Medical Technology, HsinChu, Taiwan;1. Faculty of Mathematics and Informatics, Ovidius University of Constanta, 124 Mamaia Blvd., 8700 Constanta, Romania;2. Department of Econometrics, Riskcenter-IREA, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain
Abstract:
Keywords:(G)AEP algorithm  Aggregation of risk  Copula  Dependence  Expected shortfall  Path integration  Sums of random variables  Value-at-risk
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