The log-normal approximation in financial and other computations

By Daniel Dufresne. Advances in Applied Probability, 2004

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Fitting combinations of exponentials to probability distributions (2007, background): “The distribution of a stochastic annuity with an exponential lifetime is known in closed form; the mathematical result was first derived by Yor (1992), but see Dufresne (2004a) for the financial interpretation.”
Tail behavior of sums and differences of log-normal random variables (2013, background): “The history and the applications of log-normal distributions are reviewed in [1,15,16,22,26].”
On VIX futures in the rough Bergomi model (2017, methodology): “In a different context (geometric Brownian motion and Asian options), Dufresne (2004) proved that, under certain conditions, an integral of log-normal variables asymptotically converges to a log-normal.”
Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, methodology): “Consequently, they assume that the short rate follows the Vasicek model and obtain prices for various EIAs using the riskminimizing scheme of Föllmer and Sondermann (1986).”