Journal Name:
- European Journal of Pure and Applied Mathematics
Author Name | University of Author |
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Abstract (2. Language):
It is well known that in economics and finance, the data usually have “fat tail” and in this
case the Normal distribution is not a good model to use. The skew normal distributions recently draw
considerable attention as an alternative model. Unfortunately, the distribution of the sum of log-skew
normal random variables does not have a closed form. In this work, we discuss the use of lower
convex order of random variables to approximate this distribution. Further, two application of this
approximate distribution are given : first to describe the final wealth of a series of payments, and
second to describe the present value of a series of payments.
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FULL TEXT (PDF):
- 5
779-785