The variance of a truncated random variable and the riskiness of the underlying variables (Q1382122)
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scientific article; zbMATH DE number 1132948
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The variance of a truncated random variable and the riskiness of the underlying variables |
scientific article; zbMATH DE number 1132948 |
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The variance of a truncated random variable and the riskiness of the underlying variables (English)
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24 June 1998
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Given a pair of random variables \(X\) and \(Y\) and four constants \(a,b,c\) and \(d\), consider the random variable \(\text{Max}(aY+b, \text{Min} (cY+d,X))\). This paper investigates how the variance of this ``truncated'' random variable is affected by a binomial version of the Rothschild-Stiglitz measure of increased riskiness of \(X\) and \(Y\).
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truncated distributions
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deductibles
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variance
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