The two-parameter inverse Gaussian distribution is found to have useful applications in a wide variety of fields. The uniformly minimum variance estimator of its mean is known and is the sample mean; ...

Coefficient of variation (CV) plays an important role in statistical practice; however, its sampling distribution may not be easy to compute. In this paper, the distributional properties of the sample ...

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 ...

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 ...