We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...

Methods for simulation from multivariate Gaussian distributions restricted to be from outside an arbitrary ellipsoidal region are often needed in applications. A standard rejection algorithm that ...

This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses ...