Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212257 
Year of Publication: 
2013
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 17/2013
Publisher: 
Bank of Finland, Helsinki
Abstract: 
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.
Subjects: 
Bivariate log-normal distribution
Pearson's product-moment correlation
Truncated
Censored
Tail correlation
Solvency II
JEL: 
C18
C46
G28
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-31-8
Document Type: 
Working Paper

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