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June 2011 Exact lower bounds on the exponential moments of truncated random variables
Iosif Pinelis
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J. Appl. Probab. 48(2): 547-560 (June 2011). DOI: 10.1239/jap/1308662643

Abstract

Exact lower bounds on the exponential moments of min(y, X) and X1{X < y} are provided given the first two moments of a random variable X. 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 truncation X1{X < y} are demonstrated. An application to option pricing is given.

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Iosif Pinelis. "Exact lower bounds on the exponential moments of truncated random variables." J. Appl. Probab. 48 (2) 547 - 560, June 2011. https://doi.org/10.1239/jap/1308662643

Information

Published: June 2011
First available in Project Euclid: 21 June 2011

zbMATH: 1230.60018
MathSciNet: MR2840315
Digital Object Identifier: 10.1239/jap/1308662643

Subjects:
Primary: 60E15
Secondary: 60E10, 60F05, 60F10

Rights: Copyright © 2011 Applied Probability Trust

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Vol.48 • No. 2 • June 2011
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