Research Discussion Papers, Bank of Finland
No 17/2013:
Closed form solution of correlation in doubly truncated or censored sample of bivariate log-normal distribution
Jouko Vilmunen ()
and Peter Palmroos ()
Abstract: In this study we present a closed form solution to the
moments and, in particular, correlation of two log-normally distributed
random variables, when the underlying log-normal distribution is
potentially truncated or censored at both tails. The closed form solution
that we derive also covers the cases where one tail is truncated and the
other is censored. Throughout the derivations we further assume that the
moments of the unconstrained bivariate log-normal distribution are
known.
Keywords: bivariate log-normal distribution; Pearson's product-moment correlation; truncated; censored; tail correlation; solvency II; (follow links to similar papers)
JEL-Codes: C18; C46; G28; (follow links to similar papers)
9 pages, August 21, 2013
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