Presenter: Zdravko Botev, UNSW

The distribution of the sum of dependent log-normal variables has numerous applications in, for example, the assessment of insurance risk, the valuation of an asset portfolio driven by the Black-Scholes model, and the performance analysis of wireless communication systems. In this talk we propose the first (quasi) Monte Carlo estimator for the efficient computation of the distribution of the sum of dependent log-normals. We show that the estimator is asymptotically efficient, or robust, in both tails of the distribution. The estimator enjoys the additional advantage that it is infinitely smooth, which yields, not only additional error reduction via Quasi Monte Carlo, but also a simple estimator of the corresponding probability density function - an object of significant interest in communication systems. 

About Maths Colloquium

The Mathematics Colloquium is directed at students and academics working in the fields of pure and applied mathematics, and statistics. 

We aim to present expository lectures that appeal to our wide audience.

Information for speakers

Information for speakers

Maths colloquia are usually held on Mondays, from 2pm to 3pm, in various locations at St Lucia.

Presentations are 50 minutes, plus five minutes for questions and discussion.

Available facilities include:

  • computer 
  • data projector
  • chalkboard or whiteboard

To avoid technical difficulties on the day, please contact us in advance of your presentation to discuss your requirements.


Mansergh Shaw Building (45)