Estimating a tail of the mixture of log-normal and inverse Gaussian distribution

Publisher： Taylor & Francis Ltd

E-ISSN： 1651-2030|2015|1|49-58

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2015, Iss.1, 2015-01, pp. : 49-58

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Feller processes of normal inverse Gaussian type

By Barndorff-Nielsen O.E.   Levendorskii S.Z.  

Quantitative Finance, Vol. 1, Iss. 3, 2001-03 ,pp. : 318-331

Routledge Ltd

Access to resources Recommend Favorite

Log-normal continuous cascade model of asset returns: aggregation properties and estimation

By Bacry E.  

Quantitative Finance, Vol. 13, Iss. 5, 2013-05 ,pp. : 795-818

Routledge Ltd

Access to resources Recommend Favorite

Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

By Bayazit Dervis  

Quantitative Finance, Vol. 13, Iss. 8, 2013-08 ,pp. : 1257-1287

Routledge Ltd

Access to resources Recommend Favorite

Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis

By Estrada Mariano   Cortina Elsa   FontÁn Constantino   Fiori Javier  

Review of Derivatives Research, Vol. 8, Iss. 1, 2005-06 ,pp. : 49-60

Springer Publishing Company

Access to resources Recommend Favorite

Tail approximation for reinsurance portfolios of Gaussian-like risks

By Farkas Julia   Hashorva Enkelejd  

Scandinavian Actuarial Journal, Vol. 2015, Iss. 4, 2015-05 ,pp. : 319-331

Taylor & Francis Ltd

Access to resources Recommend Favorite