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

DOI10.1016/j.insmatheco.2008.11.007zbMath1162.91440MaRDI 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

bounds; elliptical distributions; comonotonicity; log-elliptical distributions

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Uses Software

• QRM

Cites Work

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