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

Journal of Computational and Applied Mathematics

Volumn 221, Issue 1, 2008, Pages 202-218

  Vanduffel, S ^a   Chen, X ^a   Dhaene, J ^a   Goovaerts, M ^a   Henrard, L ^b   Kaas, R ^c  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b Fortis   (Hong Kong)

^c Faculty of Economics and Econometrics   (Netherlands)

Author keywords

Comonotonicity; Conditional expectation; Jensen's inequality; Lognormal; Maximal variance

Indexed keywords

ASYMPTOTIC ANALYSIS; CLUSTER ANALYSIS; CODES (SYMBOLS); DISTRIBUTION FUNCTIONS; POLYNOMIAL APPROXIMATION; RANDOM VARIABLES;

COMONOTONICITY; CONDITIONAL EXPECTATION; JENSEN'S INEQUALITY; LOGNORMAL; MAXIMAL VARIANCE;

RANDOM PROCESSES;

EID: 51249124509     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2007.10.050     Document Type: Article

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