Distribution of correlated lognormal random sum

MaRDI QIDQ5252455zbMATH OpenFDO

Authors Aceng Komarudin Mutaqin

Publication date 1 June 2015

Full work available at URL http://www.pphmj.com/abstract/8743.htm

zbMATH Keywords

approximations of distributionscorrelated lognormal random sumGauss-Hermite expansionmoment generating functionMonte Carlo simulationmultivariate lognormal distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05)

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Cited in

(8)

• Asymptotic behavior of tail density for sum of correlated lognormal variables
• On the efficient simulation of the left-tail of the sum of correlated log-normal variates
• The sum and difference of two lognormal random variables
• The moments of sum of correlated random variables
• Random rates of growth and return: introducing the expo-normal distribution
• Estimating mean and variance of sum of correlated random variables using empirical moments
• The Logarithm of the Sum of Two Correlated Log-Normal Variates
• Asymptotics of sums of lognormal random variables with Gaussian copula

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