Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Bank of Finland 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

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

BoF_DP_1317.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:bofrdp:2013_017 This page was generated on 2014-12-14 19:21:39