Sum of Bernoulli Mixtures: Beyond Conditional Independence

<table>The approximated VaRs of <svg height="15.6875" id="M373" style="vertical-align:-3.25793pt" version="1.1" viewbox="0 0 31.75 15.6875" width="31.75" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg>, by confidence level <svg height="7.9499998" id="M374" style="vertical-align:-0.1254pt" version="1.1" viewbox="0 0 9.7749996 7.9499998" width="9.7749996" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.675)"><path d="M545 106q-67 -118 -134 -118q-24 0 -40 37.5t-30 129.5h-2q-47 -72 -103 -119.5t-108 -47.5q-47 0 -76 45.5t-29 119.5q0 113 85 204t174 91q47 0 70 -33.5t43 -119.5h3q32 47 80 140l55 13l10 -9q-47 -80 -138 -201q17 -99 27.5 -136t22.5 -37q23 0 69 61zM333 204
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</svg> and the limiting correlation <svg height="8.0500002" id="M375" style="vertical-align:-0.13794pt" version="1.1" viewbox="0 0 10.975 8.0500002" width="10.975" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,7.775)"><path d="M615 290q0 -148 -114 -245q-65 -57 -125 -57q-39 0 -62 27t-29 70q-31 -41 -72 -69t-74 -28q-49 0 -82.5 43t-33.5 124q0 97 55 174.5t148 124.5l15 -24q-59 -45 -94 -113t-35 -146q0 -58 19.5 -88.5t48.5 -30.5q33 0 62 34.5t45 101.5q16 73 20 135l80 17l5 -6
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</svg>, under the <svg height="16.6625" id="M376" style="vertical-align:-2.29482pt" version="1.1" viewbox="0 0 10 16.6625" width="10" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M558 587q0 -32 -14 -61t-40 -53.5t-48.5 -41t-54.5 -36.5q144 -51 144 -174q0 -55 -43.5 -108t-104.5 -87q-77 -42 -131 -42q-31 0 -54 20t-31 47l11 18q48 -29 108 -29q79 0 119.5 43t40.5 109t-44.5 107.5t-119.5 50.5l22 47q34 1 65 21q96 61 96 157q0 42 -24 67.5
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</svg>-<svg height="16.6625" id="M377" style="vertical-align:-2.29482pt" version="1.1" viewbox="0 0 10 16.6625" width="10" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M558 587q0 -32 -14 -61t-40 -53.5t-48.5 -41t-54.5 -36.5q144 -51 144 -174q0 -55 -43.5 -108t-104.5 -87q-77 -42 -131 -42q-31 0 -54 20t-31 47l11 18q48 -29 108 -29q79 0 119.5 43t40.5 109t-44.5 107.5t-119.5 50.5l22 47q34 1 65 21q96 61 96 157q0 42 -24 67.5
t-62 25.5q-24 0 -43.5 -9t-35 -29.5t-27 -44t-22.5 -63t-19.5 -75.5t-18.5 -91q-57 -294 -68 -380q-26 -190 -35 -200q-26 -31 -97 -37l-4 26q19 9 48 170l77 413q23 121 52.5 187.5t83.5 114.5q70 62 148 62q51 0 88.5 -34t37.5 -91z" id="x1D6FD"></path></g>
</svg> model.</table>

Journal of Probability and Statistics

Sum of Bernoulli Mixtures: Beyond Conditional Independence

Figure 5