Lognormal Sum Approximation with Type IV Pearson Distribution

Abstract

In this paper, the Type IV Pearson distribution is proposed to approximate the distribution of the sum of lognormal random variables, and the parameters of the Type IV Pearson distribution are derived through matching the mean, variance, skewness and kurtosis of the two distributions. Numerical simulations show that the Type IV Pearson distribution can accurately approximate distribution of the sum of lognormal random variables in a wide probability range.