Abstract
We obtain asymptotic approximations for the probability density function of the product of two correlated normal random variables with non-zero means and arbitrary variances. As a consequence, we deduce asymptotic approximations for the tail probabilities and quantile functions of this distribution, as well as an asymptotic approximation for the widely used risk measures value at risk and tail value at risk.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
