Closed form solution of correlation in doubly truncated or censored sample of bivariate log-normal distribution

Jouko Vilmunen and Peter Palmroos

No 17/2013, Bank of Finland Research Discussion Papers from Bank of Finland

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.

Keywords: Bivariate log-normal distribution; Pearson's product-moment correlation; Truncated; Censored; Tail correlation; Solvency II (search for similar items in EconPapers)
JEL-codes: C18 C46 G28 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp2013_017

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