Approximating the Laplace transform of the sum of dependent lognormals

Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen +1

Let $(X_1,\dots ,X_n)$ be multivariate normal, with mean vector $\mathbf{\mu }$ and covariance matrix $\mathbf{\Sigma }$, and $S_n={\mathrm{e}}^{X_1}+\cdots +{\mathrm{e}}^{X_n}$. The Laplac…