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A Perron-Frobenius comonotonic approximation for sums of lognormals

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  • Chunle Huang

Abstract

In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.

Suggested Citation

  • Chunle Huang, 2026. "A Perron-Frobenius comonotonic approximation for sums of lognormals," Papers 2609.06118, arXiv.org.
    • Handle: RePEc:arx:papers:2609.06118
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    References listed on IDEAS

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    1. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
    2. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 253-300, June.
    3. Vanduffel, Steven & Dhaene, Jan & Goovaerts, Marc, 2005. "On the evaluation of ‘saving-consumption’ plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(1), pages 17-30, March.
    4. Steven Vanduffel & Tom Hoedemakers & Jan Dhaene, 2005. "Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(4), pages 71-82.
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