The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Arbenz, Philipp ; Embrechts, Paul ; Puccetti, Giovanni
Bernoulli, Tome 17 (2011) no. 1, p. 562-591 / Harvested from Project Euclid
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We propose a new algorithm to compute numerically the distribution function of the sum of d dependent, non-negative random variables with given joint distribution.
Publié le : 2011-05-15
Classification:  convolution,  distribution functions 
@article{1302009237,
     author = {Arbenz, Philipp and Embrechts, Paul and Puccetti, Giovanni},
     title = {The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables},
     journal = {Bernoulli},
     volume = {17},
     number = {1},
     year = {2011},
     pages = { 562-591},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1302009237}
}

Arbenz, Philipp; Embrechts, Paul; Puccetti, Giovanni. The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Bernoulli, Tome 17 (2011) no. 1, pp.  562-591. http://gdmltest.u-ga.fr/item/1302009237/