Asymptotics of sums of lognormal random variables with Gaussian copula
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Cites work
- scientific article; zbMATH DE number 1221798 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Bounds for functions of dependent risks
- Distributional bounds for functions of dependent risks
- Stochastic bounds on sums of dependent risks
- Tail asymptotics for the sum of two heavy-tailed 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
- Asymptotics for risk capital allocations based on conditional tail expectation
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Expanding the prediction capacity in long sequence time-series forecasting
- Efficient simulation of tail probabilities of sums of correlated lognormals
- On the density functions of integrals of Gaussian random fields
- On the Laplace transform of the lognormal distribution
- Discrete sums of geometric Brownian motions, annuities and Asian options
- A note on portfolios of averages of lognormal variables
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- On beta-product convolutions
- Aggregation of log-linear risks
- 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
- Implied volatility of basket options at extreme strikes
- On the tail probabilities of aggregated lognormal random fields with small noise
- A Bayesian motivated Laplace inversion for multivariate probability distributions
- Recalibration: a post-processing method for approximate Bayesian computation
- Precise large deviations for dependent subexponential variables
- 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
- Tail approximations of integrals of Gaussian random fields
- Approximating the Laplace transform of the sum of dependent lognormals
- Optimal portfolio selection for general provisioning and terminal wealth problems
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Fast and accurate computation of the distribution of sums of dependent log-normals
- On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
- Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
- Exponential family techniques for the lognormal left tail
- Approximating the probability density function of a transformation of random variables
- Tail behavior of weighted sums of order statistics of dependent risks
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