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Comparing Approximations for Risk Measures of Sums of Non-independent Lognormal Random Variables
| Content Provider | Semantic Scholar |
|---|---|
| Author | Vandu, Steven Hoedemakers, Tom Dhaene, Jan |
| Copyright Year | 2005 |
| Abstract | 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 approximation. We also compare the comonotonic approximations with two well-known moment matching approximations: the lognormal and the reciprocal Gamma approximation. We find that for a wide range of parameter values the comonotonic “maximal variance” lower bound approximation outperforms the other approximations. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.econ.kuleuven.ac.be/tew/academic/actuawet/pdfs/vhd-comparingmethods.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Approximation Approximation algorithm Brownian motion Computable function Curve fitting Distortion Emoticon Estimated Flow Leucaena pulverulenta MATCHING Maximal set Monte Carlo method Population Parameter Risk measure Sample Variance Simulation Utility functions on indivisible goods payment |
| Content Type | Text |
| Resource Type | Article |
