3 papers
math.PR2026
A Perron-Frobenius comonotonic approximation for sums of lognormals
Chunle Huang
In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.
q-fin.MF2026
Distortion risk measures of step-weighted distribution
Chunle Huang
In this note, we study distortion risk measures of step-weighted distribution.
math.PR2026
Comonotonic and moment matching approximations for sums of lognormal random variables
Chunle Huang
In this paper, based on the concept of weighted distribution, we introduce a kind of new approximations for sums of lognormal random variables, such that they are both comonotonic…