Bounds for some general sums of random variables

DOI10.1016/J.SPL.2010.11.018MaRDI QIDQ631537zbMATH OpenOpenAlexFDO

Authors Zinoviy Landsman, Steven Vanduffel

Publication date 14 March 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.11.018

zbMATH Keywords

dependenceexponential dispersion familybounds

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Characterization and structure theory of statistical distributions (62E10)

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• Tail Conditional Expectations for Exponential Dispersion Models
• Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
• The value of an Asian option
• Upper and lower bounds for sums of random variables

Cited in

(12)

• Bounds on the coarseness of random sums
• Bounds and approximations for sums of dependent log-elliptical random variables
• Approximation for expectations of unbounded functions of dependent integer-valued random variables
• An explicit option-based strategy that outperforms dollar cost averaging
• Bounds for a sum of random variables under a mixture of normals
• scientific article; zbMATH DE number 1552494 (Why is no real title available?)
• The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
• Distribution of correlated lognormal random sum
• Bounds on the distribution of a sum of independent lognormal random variables
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
• A note on Stein's lemma for multivariate elliptical distributions
• Lower convex order bound approximations for sums of log-skew normal random variables

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