Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a ...

The class of generalized hyperbolic (GH) distributions is generated by a mean-variance mixture of a multivariate Gaussian with a generalized inverse Gaussian (GIG) distribution. This rich family of GH distributions includes ...

In this paper, we develop statistical methodology for the analysis of data under nonnormal distributions, in the context of mixed effects models. Although the multivariate normal distribution is useful in many cases, it ...

In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection.

En esta tesis, abordamos algunos problemas relacionados con la interacción de los riesgos de seguros y financieros. Primero, consideramos una compañía de seguros o financiera con la intención de asignar el capital de ...