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ArticleAsymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen2008

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Asymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen · Leonardo Rojas‐Nandayapa

110 citations·0/0 files stored·Statistics & Probability Letters

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Probability and Risk Models Probability and Statistical Research Financial Risk and Volatility Modeling

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References

1987Applied Probability and Queues 2002Modeling, Measuring and Hedging Operational Risk 2006Bounds for Functions of Dependent Risks 1999Stochastic bounds on sums of dependent risks 2007Loss Distribution Approach in Practice

Cited by

2011Asymptotics for risk capital allocations based on Conditional Tail Expectation 2015Tail behavior of sums and differences of log-normal random variables 2009Efficient simulation of tail probabilities of sums of correlated lognormals 2009On Sums of Conditionally Independent Subexponential Random Variables 2009Aggregation of rapidly varying risks and asymptotic independence 2016Exponential Family Techniques for the Lognormal Left Tail 2009Limit theorem on the sum of identically distributed equally and positively correlated joint lognormals 2023Human reliability evaluation method covering operator action timing for dynamic probabilistic safety assessment

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Year2008

Typearticle

Published2008-04-07

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations110

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.spl.2008.03.035

openalex_workW2045269787

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