Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables (Q704415)
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scientific article; zbMATH DE number 2127230
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| English | Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables |
scientific article; zbMATH DE number 2127230 |
Statements
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables (English)
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13 January 2005
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Conditional expectation
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Stop-loss premiums
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Sum of dependent random variables
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Basket options
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0.88951284
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0.87772566
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0.8686371
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0.86788666
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0.86085695
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0.86077386
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