Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions

Georg Mainik

Type: Article

Publication Date: 2015-07-28

Citations: 8

DOI: https://doi.org/10.1016/j.jmva.2015.07.008

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Journal of Multivariate Analysis - View
arXiv (Cornell University) - View - PDF
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Works Cited by This (25)

Action	Title	Year	Authors
+ PDF Chat	On stochastic dependence and a class of degenerate distributions	1990	Richard A. Vitale
+	Uniform Central Limit Theorems	1999	R. M. Dudley
+	Emprical Processes Based on Pseudo-Observations	1998	Kilani Ghoudi Bruno Rémillard
+ PDF Chat	Empirical processes indexed by estimated functions	2007	Aad van der Vaart Jon A. Wellner
+	On Kendall's Process	1996	Philippe Barbe Christian Genest Kilani Ghoudi Bruno Rémillard
+	A distribution-free approach to inducing rank correlation among input variables	1982	Ronald L. Iman W. J. Conover
+	Solution of a statistical optimization problem by rearrangement methods	1983	Ludger Rüschendorf
+	Weak Convergence and Empirical Processes	1996	Aad van der Vaart Jon A. Wellner
+ PDF Chat	The Empirical Discrepancy Over Lower Layers and a Related Law of Large Numbers	1981	F. T. Wright
+ PDF Chat	On Latin hypercube sampling	1996	Wei-Liem Loh