Bounds and approximations for sums of dependent log-elliptical random variables

Insurance: Mathematics and Economics

Volumn 44, Issue 3, 2009, Pages 385-397

  Valdez, Emiliano A ^a   Dhaene, Jan ^b   Maj, Mateusz ^b   Vanduffel, Steven ^c  

^a UNIVERSITY OF CONNECTICUT   (United States)

^b UNIVERSITY OF LEUVEN   (Belgium)

^c VRIJE UNIVERSITEIT BRUSSEL   (Belgium)

Author keywords

Bounds; Comonotonicity; Elliptical distributions; Log elliptical distributions

Indexed keywords

EID: 65049089158     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.11.007     Document Type: Article

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