A Perron-Frobenius comonotonic approximation for sums of lognormals
arXiv:2609.06118
Abstract
In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.
arXiv:2609.06118
In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.