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On conditions for optimality in least pth approximation withp→ ∞

✍ Scribed by J. W. Bandler; C. Charalambous


Publisher
Springer
Year
1973
Tongue
English
Weight
472 KB
Volume
11
Category
Article
ISSN
0022-3239

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Optimal approximations for risk measures
✍ S. Vanduffel; X. Chen; J. Dhaene; M. Goovaerts; L. Henrard; R. Kaas 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 406 KB

In this paper we investigate the approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S | Λ] of S with respect to a conditioning random variable Λ. The choice of Λ is crucial in order to