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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 17/2013
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, where the underlying log-normal distribution is potentially truncated and censored at both tails. Throughout the analysis we further assume that the parameters of the unconstrained bivariate log-normal distribution are known. The closed form solution also covers the cases where one tail is truncated and the other is censored.
Schlagwörter: 
Bivariate log-normal distribution
Pearson's product-moment correlation
Truncated
Censored
Tail correlation
Solvency II
JEL: 
C18
C46
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-6699-31-8
Dokumentart: 
Working Paper

Datei(en):
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