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), 562-591.