A note on portfolios of averages of lognormal variables

DOI10.1016/J.INSMATHECO.2023.06.001MaRDI QIDQ6072269zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Ruihong Jiang

Publication date 12 October 2023

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.06.001

zbMATH Keywords

block covariance matrixlimiting distributionlognormal distributionmoment formulaesum of lognormals

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

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Cites work

• A New Parametrization of Correlation Matrices
• An introduction to probability and statistics
• Approximation theorems of mathematical statistics
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Correlation matrix with block structure and efficient sampling methods
• Fast and accurate computation of the distribution of sums of dependent log-normals
• Ground states in non-relativistic quantum electrodynamics.
• scientific article; zbMATH DE number 193078 (Why is no real title available?)
• On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
• On the Laplace transform of the lognormal distribution
• Tail behavior of sums and differences of log-normal random variables
• The eigenstructure of block-structured correlation matrices and its implications for principal component analysis

Cited in

(2)

• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• A new approximation of annuity prices for age-period-cohort models

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