On the distribution of sums of random variables with copula-induced dependence
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DOI: 10.1016/j.insmatheco.2014.08.002
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- Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.
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Keywords
(G)AEP algorithm; Aggregation of risk; Copula; Dependence; Expected shortfall; Path integration; Sums of random variables; Value-at-risk;All these keywords.
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