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Optimal approximations for risk measures of sums of lognormals based on conditional expectations |
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| Authors: | S. Vanduffel X. Chen J. Dhaene M. Goovaerts L. Henrard R. Kaas |
| Affiliation: | 1. Faculty of Business and Economics, Catholic University of Leuven, Naamsestraat 69, 3000 Leuven, Belgium;2. Fortis, Gloucester Road 77-79, Hong Kong, China;3. Faculty of Economics and Econometrics, Department of Quantitative Economics, Section Actuarial Science, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands |
| Abstract: | In this paper we investigate the approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S∣Λ] of S with respect to a conditioning random variable Λ. |
| Keywords: | Comonotonicity Lognormal Maximal variance Conditional expectation Jensen&rsquo s inequality |
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