Optimal approximations for risk measures of sums of lognormals based on conditional expectations期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

按检索

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

Authors:	S Vanduffel X Chen J Dhaene M Goovaerts L Henrard R Kaas

Institution:	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 $S$ of lognormal random variables. These approximations are obtained by considering the conditional expectation ES∣Λ] $E S ∣ Λ]$ of S $S$ with respect to a conditioning random variable Λ $Λ$ .

Keywords:	Comonotonicity Lognormal Maximal variance Conditional expectation Jensen&rsquo s inequality
本文献已被 ScienceDirect 等数据库收录！