Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65292
Authors: 
Lillestöl, Jostein
Year of Publication: 
2002
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,85
Abstract: 
In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG consistent with marginal NIG.
Subjects: 
risk management
Normal Inverse Gaussian distribution
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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