کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077124 | 1374118 | 2011 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the distribution of the (un)bounded sum of random variables
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the distribution of the (un)bounded sum of random variables On the distribution of the (un)bounded sum of random variables](/preview/png/5077124.png)
چکیده انگلیسی
We propose a general treatment of random variables aggregation accounting for the dependence among variables and bounded or unbounded support of their sum. The approach is based on the extension to the concept of convolution to dependent variables, involving copula functions. We show that some classes of copula functions (such as Marshall-Olkin and elliptical) cannot be used to represent the dependence structure of two variables whose sum is bounded, while Archimedean copulas can be applied only if the generator becomes linear beyond some point. As for the application, we study the problem of capital allocation between risks when the sum of losses is bounded.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 1, January 2011, Pages 56-63
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 1, January 2011, Pages 56-63
نویسندگان
Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli,