New bivariate and multivariate log-normal distributions as models for insurance data

Abstract

The body of most multivariate financial data sets can be well modeled by log-normal distributions. Yet not many multivariate log-normal distributions are available in the literature. In this paper, we propose many new multivariate log-normal distributions. An application to an insurance data set is given.

Keywords

• Conditional distribution
• Joint probability density function
• Marginal distribution