On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
DOI10.1016/J.INSMATHECO.2019.10.003zbMATH Open1431.91327OpenAlexW2986386571WikidataQ126817319 ScholiaQ126817319MaRDI QIDQ2292186FDOQ2292186
Authors: Edward Furman, Daniel Hackmann, Alexey Kuznetsov 
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.003
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Cited In (12)
- Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- Tail behavior of sums and differences of log-normal random variables
- Fitting Tweedie's compound Poisson model to pure premium with the EM algorithm
- Cyber risk modeling: a discrete multivariate count process approach
- Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
- A note on portfolios of averages of lognormal variables
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- The log-normal approximation in financial and other computations
- A fast and accurate numerical method for the left tail of sums of independent random variables
- Estimation of multivariate generalized gamma convolutions through Laguerre expansions
- Holistic principle for risk aggregation and capital allocation
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