Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
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Date
2015-10
Publication Type
Journal Article
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yes
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Altmetric
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Publication status
published
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Journal / series
Volume
141
Pages / Article No.
197 - 216
Publisher
Elsevier
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Edition / version
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Software
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Subject
Empirical copula; Empirical margins; Functional CLT; Iman-Conover; Latin hypercube sampling; Risk aggregation; Sum distribution
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Notes
Received 4 March 2012, Published online 28 July 2015.