On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise


Motivation. The integral of lognormal random fields is the central quantity of many probabilistic models in portfolio risk analysis, spatial point processes, etc. (see, e.g., Liu and Xu [12, 14]). The current analysis is of interest particularly for risk analysis of short-term behavior of a large size portfolio under high correlations. We elaborate more on… (More)
DOI: 10.1287/moor.2015.0724