Bounds on the probability and mean for truncated random variables

MaRDI QIDQ3071669zbMATH OpenFDO

Authors Guoqing Liu, Minhui Wang

Publication date 5 February 2011

zbMATH Keywords

convex optimizationdualitymoment problemEuropean call optionsEuropean exchange options

Mathematics Subject Classification ID

Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70)

Recommendations

• Moment bounds for truncated random variables
• Moment bounds for truncated bimodal distributions
• Exact lower bounds on the exponential moments of truncated random variables
• scientific article; zbMATH DE number 7892
• The variance of a truncated random variable and the riskiness of the underlying variables

Cited in

(8)

• Moment bounds for truncated bimodal distributions
• Exact Bounds on the Truncated-Tilted Mean, with Applications
• Truncation in average and worst case settings for special classes of \(\infty \)-variate functions
• scientific article; zbMATH DE number 520107 (Why is no real title available?)
• Exact lower bounds on the exponential moments of truncated random variables
• scientific article; zbMATH DE number 5548080 (Why is no real title available?)
• Moment bounds for truncated random variables
• Truncated random variables with application to random surfaces

This page was built for publication: Bounds on the probability and mean for truncated random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3071669)