On the simulation of general multivariate gamma distributions using Dickman approximations

Key Points

• To derive and apply a Dickman approximation for simulating multivariate gamma distributions.
• Developed a Dickman approximation for small jumps in multivariate Lévy processes.
• Applied the approximation to create a simulation method for general multivariate gamma distributions.
• Conducted a small-scale simulation study to evaluate the method's performance.
• The simulation method worked very well, indicating the effectiveness of the Dickman approximation for this class of distributions.