In this paper, we recall actuarial and financial applications of sums of dependent random variables that follow a non-Gaussian mean-reverting process and contemplate distribution approximations. Our work complements previous related studies restricted to lognormal random variables; we revisit...

In this paper we present a new general method for simulating integrals of stochastic processes. We focus on the nontrivial case of time integrals conditional on the state variable levels at the endpoints of a time interval, based on a moment-based probability distribution construction. We...