Year: 2026
Type: preprint
Abstract: In this note, we introduce a new comonotonic approximation for sums of lognormal random variables based on the famous Perron-Frobenius theorem.
Source: arXiv (Cornell University)
Author: Huang, Chunle
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7212033633