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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

Philipp Arbenz Department of Mathematics, ETH Zurich, 8092, Zurich, SwitzerlandCorrespondence[email protected]
,
Paul Embrechts Swiss Finance Institute, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
&
Giovanni Puccetti Department of Mathematics for Decisions, University of Firenze, 50134, Firenze, Italy
Pages 569-597 | Received 02 Sep 2010, Accepted 22 Feb 2011, Published online: 04 Oct 2011

Citations (13)

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Ayyub Sheikhi, Fereshteh Arad, Radko Mesiar & Lucia Vavríková. (2020) Random noise and perturbation of copula with a copula induced noise. International Journal of General Systems 49:8, pages 856-871.
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Articles from other publishers (12)

Christian Genest & Matthias Scherer. (2023) When copulas and smoothing met: An interview with Irène Gijbels. Dependence Modeling 11:1.
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Andrei M. Zubkov & M. V. Filina. (2022) Computation of distributions of statistics by means of Markov chains. Discrete Mathematics and Applications 32:4, pages 285-295.
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Sojung Kim & Stefan Weber. (2022) Simulation methods for robust risk assessment and the distorted mix approach. European Journal of Operational Research 298:1, pages 380-398.
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Ayyub Sheikhi, Vahid Amirzadeh & Radko Mesiar. (2021) A comprehensive family of copulas to model bivariate random noise and perturbation. Fuzzy Sets and Systems 415, pages 27-36.
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Christian Genest & Johanna G. Nešlehová. (2020) A Conversation With Paul Embrechts. International Statistical Review 88:3, pages 521-547.
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Андрей Михайлович Зубков, Andrei Mikhailovich Zubkov, Марина Викторовна Филина & Marina Viktorovna Filina. (2020) Вычисление распределений статистик с помощью цепей МарковаComputing the distributions of statistics by means of Markov chains. Дискретная математика Diskretnaya Matematika 32:4, pages 38-51.
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Marina Filina & Andrey Zubkov. 2017. Analytical and Computational Methods in Probability Theory. Analytical and Computational Methods in Probability Theory 476 484 .
Marcello Galeotti. (2015) Computing the distribution of the sum of dependent random variables via overlapping hypercubes. Decisions in Economics and Finance 38:2, pages 231-255.
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Irène Gijbels & Klaus Herrmann. (2014) On the distribution of sums of random variables with copula-induced dependence. Insurance: Mathematics and Economics 59, pages 27-44.
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Hélène Cossette, Marie-Pier Côté, Mélina Mailhot & Etienne Marceau. (2014) A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Journal of Multivariate Analysis 130, pages 1-20.
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Paul Embrechts, Giovanni Puccetti, Ludger Rüschendorf, Ruodu Wang & Antonela Beleraj. (2014) An Academic Response to Basel 3.5. Risks 2:1, pages 25-48.
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Montserrat Guillén, José María Sarabia & Faustino Prieto. (2013) Simple risk measure calculations for sums of positive random variables. Insurance: Mathematics and Economics 53:1, pages 273-280.
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