Optimal approximations for risk measures of sums of lognormals based on conditional expectations

Journal of Computational and Applied Mathematics, 221(1), 202-218, Nov. 2008
Valuation and risk management
  • Jan Dhaene Jan Dhaene
  • Luc Henrard Luc Henrard
  • Marc Goovaerts Marc Goovaerts
  • Rob Kaas Rob Kaas
  • Steven Vanduffel Steven Vanduffel
  • Xinliang Chen Xinliang Chen

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