Sums of Random Variables and Application to Risk Aggregation

Herfried Kohl

Chapter 19 in Managing SMEs in Times of Rapid Change, Uncertainty, and Disruption, 2024, pp 489-505 from Springer

Abstract: Key Topics in This Chapter: Mainly Quantitative Evaluating sums of random variables is a key topic in QRM. Since random variables are characterized by their probability distributions, their addition is not trivial and requires special techniques. Some of them we will present in this chapter. The main topics we deal with include: The method of convolution. The application of generating functions. Calculating sums by employing simulation. Exactly summable sums of random variables. Evaluation of random sums.

Date: 2024
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DOI: 10.1007/978-3-031-71272-2_19

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