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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.
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…