Comparing Approximations for Risk Measures of Sums of Non-independent Lognormal Random Variables


In this paper we consider different approximations for computing the distribution function or risk measures related to a discrete sum of nonindependent lognormal random variables. Comonotonic upper bound and lower bound approximations for such sums have been proposed in Dhaene et al. (2002a,b). We introduce the comonotonic “maximal variance” lower bound… (More)


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