Asymptotics of sums of lognormal random variables with Gaussian copula

DOI10.1016/J.SPL.2008.03.035zbMATH Open1151.60009OpenAlexW2045269787WikidataQ56115396 ScholiaQ56115396MaRDI QIDQ952863FDOQ952863

Authors: L. Rojas-Nandayapa, Søren Asmussen 

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.035

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Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Cites Work

• Title not available (Why is that?)
• Stochastic bounds on sums of dependent risks
• Title not available (Why is that?)
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Bounds for functions of dependent risks
• Distributional bounds for functions of dependent risks

Cited In (40)

• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• Tail asymptotics of random sum and maximum of log-normal risks
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Tail behavior of sums and differences of log-normal random variables
• Second order asymptotics of aggregated log-elliptical risk
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Asymptotics for risk capital allocations based on conditional tail expectation
• Expanding the prediction capacity in long sequence time-series forecasting
• On the density functions of integrals of Gaussian random fields
• Efficient simulation of tail probabilities of sums of correlated lognormals
• A note on portfolios of averages of lognormal variables
• On the Laplace transform of the lognormal distribution
• Discrete sums of geometric Brownian motions, annuities and Asian options
• Aggregation of log-linear risks
• On beta-product convolutions
• On the efficient simulation of the left-tail of the sum of correlated log-normal variates
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Uniform approximation of the tail probability of weighted sums of subexponential random variables
• Aggregation of rapidly varying risks and asymptotic independence
• On the tail probabilities of aggregated lognormal random fields with small noise
• Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
• Precise large deviations for dependent subexponential variables
• A Bayesian motivated Laplace inversion for multivariate probability distributions
• Recalibration: a post-processing method for approximate Bayesian computation
• On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms
• Heavy tails and copulas: limits of diversification revisited
• Asymptotic behavior of tail density for sum of correlated lognormal variables
• Second order risk aggregation with the Bernstein copula
• Max-sum equivalence of conditionally dependent random variables
• Approximating the Laplace transform of the sum of dependent lognormals
• Tail approximations of integrals of Gaussian random fields
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• Optimal portfolio selection for general provisioning and terminal wealth problems
• Fast and accurate computation of the distribution of sums of dependent log-normals
• Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
• On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
• Exponential family techniques for the lognormal left tail
• Approximating the probability density function of a transformation of random variables
• Implied Volatility of Basket Options at Extreme Strikes

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