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Risk Aggregation

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References

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2008Panjer recursion versus FFT for compound distributions94 cited
2009Portfolio diversification and value at risk under thick-tailedness93 cited

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Cited by

2013Model uncertainty and VaR aggregation295 cited
2019Sharing the Value-at-Risk Under Distributional Ambiguity26 cited
2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models21 cited