JSTOR Daily

A Multivariate Survival Distribution Generated by an Inverse Gaussian Mixture of Exponentials

We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...
JSTOR Daily

K-Sample Likelihood Ratio Tests on the Inverse-Gaussian Distribution

Journal of the Royal Statistical Society. Series D (The Statistician) The Statistician joined the Journal of the Royal Statistical Society as its Series D from the journal of the Institute of ...
Risk

Risk estimation using the normal inverse Gaussian distribution

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
Risk

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...