Exact Lower Bounds on the Exponential Moments of Truncated Random Variables
2011 ◽
Vol 48
(02)
◽
pp. 547-560
◽
Keyword(s):
Exact lower bounds on the exponential moments of min(y,X) andX1{X<y} are provided given the first two moments of a random variableX. These bounds are useful in work on large deviation probabilities and nonuniform Berry-Esseen bounds, when the Cramér tilt transform may be employed. Asymptotic properties of these lower bounds are presented. Comparative advantages of the so-called Winsorization min(y,X) over the truncationX1{X<y} are demonstrated. An application to option pricing is given.
2011 ◽
Vol 48
(2)
◽
pp. 547-560
◽
2001 ◽
pp. 277-295
2002 ◽
Vol 46
(1)
◽
pp. 79-102
◽
1970 ◽
Vol 24
(2)
◽
pp. 382-382
◽
2002 ◽
Vol 46
(2)
◽
pp. 355-366
◽
1973 ◽
Vol 2
(6)
◽
pp. 525-533
◽
Keyword(s):
2018 ◽
Vol 37
(1)
◽
pp. 101-118
◽
1973 ◽
Vol 2
(6)
◽
pp. 525-533
Keyword(s):