On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
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Publication:2292186
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Cites work
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- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- A note on portfolios of averages of lognormal variables
- A fast and accurate numerical method for the left tail of sums of independent random variables
- Holistic principle for risk aggregation and capital allocation
- The log-normal approximation in financial and other computations
- Fast and accurate computation of the distribution of sums of dependent log-normals
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
- Estimation of multivariate generalized gamma convolutions through Laguerre expansions
- Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
- Tail behavior of sums and differences of log-normal random variables
- Cyber risk modeling: a discrete multivariate count process approach
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