Stein's Lemma for elliptical random vectors
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References listed on IDEAS
- Mahmoud Hamada & Emiliano A. Valdez, 2008.
"CAPM and Option Pricing With Elliptically Contoured Distributions,"
Journal of Risk & Insurance,
The American Risk and Insurance Association, vol. 75(2), pages 387-409.
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- Kenneth A. Froot, 2007.
"Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers,"
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The American Risk and Insurance Association, vol. 74(2), pages 273-299.
- Kenneth A. Froot, 2003. "Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers," NBER Working Papers 10184, National Bureau of Economic Research, Inc.
- Landsman, Zinoviy, 2006. "On the generalization of Stein's Lemma for elliptical class of distributions," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1012-1016, May.
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- Kume, Alfred & Hashorva, Enkelejd, 2012. "Calculation of Bayes premium for conditional elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 632-635.
- repec:eee:ejores:v:261:y:2017:i:2:p:606-612 is not listed on IDEAS
- Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
- Zinoviy Landsman & Udi Makov & Tomer Shushi, 2017. "Extended Generalized Skew-Elliptical Distributions and their Moments," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(1), pages 76-100, February.
- repec:eee:stapro:v:137:y:2018:i:c:p:297-303 is not listed on IDEAS
- Landsman, Zinoviy & Vanduffel, Steven & Yao, Jing, 2015. "Some Stein-type inequalities for multivariate elliptical distributions and applications," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 54-62.
- Kumar Kattumannil, Sudheesh, 2009. "On Stein's identity and its applications," Statistics & Probability Letters, Elsevier, vol. 79(12), pages 1444-1449, June.
- Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
More about this item
KeywordsDensity generator Elliptical distribution Generalized hyperbolic distribution Normal distribution Normal mixtures Pearson Type VII distribution Stein's Lemma Spherical distribution Student t distribution;
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