Optimal approximations for risk measures of sums of lognormals based on conditional expectations

DOI10.1016/j.cam.2007.10.050zbMath1154.91021OpenAlexW3124434029MaRDI QIDQ950092

Jan Dhaene, Marc J. Goovaerts, Luc Henrard, Xinliang Chen, Steven Vanduffel, Rob Kaas

Publication date: 22 October 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.050

zbMATH Keywords

conditional expectationrisk measureslognormal distributionComonotonicitymaximal variance

Mathematics Subject Classification ID

Related Items (31)

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Uses Software

• QRM

Cites Work

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