Paul Embrechts
ETH Zurich
Risk aggregation.
Abstract:
I discuss numerical algorithms (AEP and GAEP) for calculating
quantiles for functions of possibly dependent random variables.
These algoritms are based on a geometric decomposition of the domain of integration.
The results for AEP are to be found in:
Arbenz, P., Embrechts, P., Puccetti, P.(2011): The AEP
algorithm for the fast computation of the distribution
of the sum of dependent random variables. Bernoulli
17(2), 562591.
