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: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862746228811366400 |
|---|---|
| author | Kukush, A. Pupashenko, M. |
| author_facet | Kukush, A. Pupashenko, M. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-12-07T20:44:43Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4515 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T20:44:43Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Kukush, A. Pupashenko, M. 2009-11-24T15:28:15Z 2009-11-24T15:28:15Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4515 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. A. Kukush is supported by the grant from the authorities of K.U. Leuven, Belgium, and by the Swedish Institute grant SI-01424/2007. en Інститут математики НАН України Bounds for a sum of random variables under a mixture of normals Article published earlier |
| spellingShingle | Bounds for a sum of random variables under a mixture of normals Kukush, A. Pupashenko, M. |
| title | 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4515 |
| work_keys_str_mv | AT kukusha boundsforasumofrandomvariablesunderamixtureofnormals AT pupashenkom boundsforasumofrandomvariablesunderamixtureofnormals |