Asymptotics of sums of lognormal random variables with Gaussian copula

Cites Work

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

This page was built for publication: Asymptotics of sums of lognormal random variables with Gaussian copula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952863)