Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes
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- Das, Bikramjit & Fasen-Hartmann, Vicky, 2024. "On heavy-tailed risks under Gaussian copula: The effects of marginal transformation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Bikramjit Das & Vicky Fasen-Hartmann, 2023. "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers 2304.05004, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2023-03-06 (Risk Management)
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