On log-normal convolutions: an analytical-numerical method with applications to economic capital determination

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Cited In (10)

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
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
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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