Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables

DOI10.1080/10920277.2005.10596226zbMath1215.91038OpenAlexW3123806233MaRDI QIDQ3010444

Jan Dhaene, Tom Hoedemakers, Steven Vanduffel

Publication date: 2 July 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596226

zbMATH Keywords

risklognormal

Mathematics Subject Classification ID

Related Items (28)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Exact probability distribution function for the volatility of cumulative production ⋮ The multivariate Black & Scholes market: conditions for completeness and no-arbitrage ⋮ Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection ⋮ Quantile approximations in auto-regressive portfolio models ⋮ Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection ⋮ Tail variance premiums for log-elliptical distributions ⋮ Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework ⋮ Analytic bounds and approximations for annuities and Asian options ⋮ Bounds for Asian basket options ⋮ Optimal portfolio selection for general provisioning and terminal wealth problems ⋮ Prices and sensitivities of Asian options: A survey ⋮ Quantifying the error of convex order bounds for truncated first moments ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Correlated log-normal random variables under a multiscale volatility model ⋮ The sum and difference of two lognormal random variables ⋮ An application of comonotonicity theory in a stochastic life annuity framework ⋮ Some results on the CTE-based capital allocation rule ⋮ Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior ⋮ Stochastic volatility effects on correlated log-normal random variables ⋮ A framework for robust measurement of implied correlation ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ The multivariate Variance Gamma model: basket option pricing and calibration ⋮ Risk Measures and Comonotonicity: A Review ⋮ Lower convex order bound approximations for sums of log-skew normal random variables ⋮ Some asymptotic results for sums of dependent random variables, with actuarial applications ⋮ Approximations for life annuity contracts in a stochastic financial environment

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• Self-Annuitization and Ruin in Retirement
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