In this paper we apply the idea of the WKB method to derive an effective single lognormal approximation for the probability distribution of the sum of two correlated lognormal variables. An approximate probability distribution of the sum is determined in closed form, and illustrative numerical...

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...