Bounds for a sum of random variables under a mixture of normals
In two papers: Dhaene et al. (2002). Insurance: Mathematics and Economics 31, pp.3-33 and pp. 133-161, the approximation for sums of random variables (rv’s) was derived for the case where the distribution of the components is lognormal and known, but the stochastic dependence structure is unknown or...
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| Дата: | 2007 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
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Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4515 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Bounds for a sum of random variables under a mixture of normals / A. Kukush, M. Pupashenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 82–97. — Бібліогр.: 3 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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irk-123456789-45152009-11-25T12:00:33Z Bounds for a sum of random variables under a mixture of normals Kukush, A. Pupashenko, M. In two papers: Dhaene et al. (2002). Insurance: Mathematics and Economics 31, pp.3-33 and pp. 133-161, the approximation for sums of random variables (rv’s) was derived for the case where the distribution of the components is lognormal and known, but the stochastic dependence structure is unknown or too cumbersome to work with. In finance and actuarial science a lot of attention is paid to a regime switching model. In this paper we give the approximation for sums under a mixture of normals and consider approximate evaluation of provision under switching regime. 2007 Article Bounds for a sum of random variables under a mixture of normals / A. Kukush, M. Pupashenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 82–97. — Бібліогр.: 3 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4515 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
In two papers: Dhaene et al. (2002). Insurance: Mathematics and Economics 31, pp.3-33 and pp. 133-161, the approximation for sums of random variables (rv’s) was derived for the case where the distribution of the components is lognormal and known, but the stochastic dependence structure is unknown or too cumbersome to work with. In finance and actuarial science a lot of attention is paid to a regime switching model. In this paper we give the approximation for sums under a mixture of normals and consider approximate evaluation of provision under switching regime. |
| format |
Article |
| author |
Kukush, A. Pupashenko, M. |
| spellingShingle |
Kukush, A. Pupashenko, M. Bounds for a sum of random variables under a mixture of normals |
| author_facet |
Kukush, A. Pupashenko, M. |
| author_sort |
Kukush, A. |
| title |
Bounds for a sum of random variables under a mixture of normals |
| title_short |
Bounds for a sum of random variables under a mixture of normals |
| title_full |
Bounds for a sum of random variables under a mixture of normals |
| title_fullStr |
Bounds for a sum of random variables under a mixture of normals |
| title_full_unstemmed |
Bounds for a sum of random variables under a mixture of normals |
| title_sort |
bounds for a sum of random variables under a mixture of normals |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4515 |
| citation_txt |
Bounds for a sum of random variables under a mixture of normals / A. Kukush, M. Pupashenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 82–97. — Бібліогр.: 3 назв.— англ. |
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2023-03-24T08:30:31Z |
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2023-03-24T08:30:31Z |
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