Bounds and approximations for sums of dependent log-elliptical random variables
نویسندگان
چکیده
منابع مشابه
Bounds and Approximations for Sums of Dependent Log-Elliptical Random Variables
Dhaene, Denuit, Goovaerts, Kaas & Vyncke (2002a,b) have studied convex bounds for a sum of dependent random variables and applied these to sums of log-normal random variables. In particular, they have shown how these convex bounds can be used to derive closed-form approximations for several of the risk measures of such a sum. In this paper we investigate to which extent their general results on...
متن کاملConvex Order Bounds for Sums of Dependent Log-Elliptical Random Variables
In this paper, we construct upper and lower convex order bounds for the distribution of a sum of non-independent log-elliptical random variables. These bounds are applications of the ideas developed in Kaas, Dhaene & Goovaerts (2000). The class of multivariate log-elliptical random variables is an extension of the class of multivariate log-normal random variables. Hence, the results presented h...
متن کاملStrong Laws for Weighted Sums of Negative Dependent Random Variables
In this paper, we discuss strong laws for weighted sums of pairwise negatively dependent random variables. The results on i.i.d case of Soo Hak Sung [9] are generalized and extended.
متن کاملOn the Complete Convergence ofWeighted Sums for Dependent Random Variables
We study the limiting behavior of weighted sums for negatively associated (NA) random variables. We extend results in Wu (1999) and a theorem in Chow and Lai (1973) for NA random variables.
متن کاملstrong laws for weighted sums of negative dependent random variables
in this paper, we discuss strong laws for weighted sums of pairwise negatively dependent random variables. the results on i.i.d case of soo hak sung [9] are generalized and extended.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2009
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2008.11.007