Asymptotics of sums of lognormal random variables with Gaussian copula

Statistics and Probability Letters

Volumn 78, Issue 16, 2008, Pages 2709-2714

  Asmussen, Søren ^a   Rojas Nandayapa, Leonardo ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 53249108060     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2008.03.035     Document Type: Article

References (11)

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11. Frachot A., Moudoulaud O., and Roncalli T. Loss distribution approach in practice. In: Ong M. (Ed). The Basel Handbook: A Guide for Financial Practitioners (2004), Risk Books