Correlation, co-dependency and risk aggregation [8]

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Bullet points include: Series of independent random variables, x1, ..., xn, each with finite (and bounded) expected value, mu i and finite (and bounded) standard deviation, sigma i. Sn and Zn defined as: Subject to certain regularity conditions, distribution of Zn tends (asymptotically) to unit normal, i.e. N(0,1). Zn distributed exactly unit normal for all n, if xj normally distributed. C.f. ‘Law of Large Numbers’

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