JSTOR Daily

An Exact Chi-Squared Decomposition Theorem for Inverse Gaussian Variates

It is proved that the scaled deviance of an inverse Gaussian sample of size n can be expressed as a sum of n - 1 independent chi-square variates. Applications to prediction intervals and squared ...
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 ...
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 multivariate normal inverse Gaussian distribution

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...