Bounds and approximations for sums of dependent log-elliptical random variables

DOI10.1016/j.insmatheco.2008.11.007zbMath1162.91440OpenAlexW3124105088MaRDI QIDQ1023100

Jan Dhaene, Emiliano A. Valdez, Steven Vanduffel, Mateusz Maj

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/206762

zbMATH Keywords

boundselliptical distributionscomonotonicitylog-elliptical distributions

Mathematics Subject Classification ID

Related Items (18)

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures ⋮ A note on Stein's lemma for multivariate elliptical distributions ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Bounds for some general sums of random variables ⋮ Tail variance premiums for log-elliptical distributions ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Aggregating Risks with Partial Dependence Information ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Calculation of Bayes premium for conditional elliptical risks ⋮ Correlation order, merging and diversification ⋮ Multivariate Three-Parameter Log-Elliptical Distributions ⋮ Risk aggregation with dependence uncertainty ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models ⋮ On beta-product convolutions ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

Uses Software

• QRM

Cites Work

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