Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models

Keyphrases

• Non-Gaussian 100%
• Approximate Distribution 100%
• Stochastic Sum 100%
• Moment Matching 100%
• Numerical Experiments 50%
• Risk Measures 50%
• Financial Applications 50%
• Annuity 50%
• Asian Option Pricing 50%
• Moment-based 50%
• Gaussian Mean 50%
• Lognormal Random Variable 50%
• Sum of Dependent Random Variables 50%
• Mean-reverting Process 50%
• Random Sum 50%

Mathematics

• Stochastics 100%
• Gaussian Distribution 100%
• American Option 50%
• Numerical Experiment 50%
• Option Pricing 50%
• Dependent Random Variable 50%
• Risk Measure 50%
• Random Sum 50%
• Random Variable 50%