Results 1 to 3 of 3

Math Help - Need formula for the expected value between two points in a lognormal distribution

  1. #1
    Junior Member
    Joined
    Nov 2008
    Posts
    44

    Need formula for the expected value between two points in a lognormal distribution

    I'd greatly appreciate any help with this insurance-related math question:

    I have the average and the standard deviation of a set of claims ranging between $5,000 and $100,000. My data has no claims in it with values under $5,000 nor does it have any claims in it with values in excess of $100,000. If I'm willing to assume that the overall claim distribution is lognormal, how can I use the average and standard deviation for this limited set of data to derive the mu and sigma for the entire distribution?

    Thanks in advance for any and all help!

    - Steve J
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Super Member
    Joined
    Mar 2008
    Posts
    934
    Thanks
    33
    Awards
    1
    Quote Originally Posted by Steve_J View Post
    I'd greatly appreciate any help with this insurance-related math question:

    I have the average and the standard deviation of a set of claims ranging between $5,000 and $100,000. My data has no claims in it with values under $5,000 nor does it have any claims in it with values in excess of $100,000. If I'm willing to assume that the overall claim distribution is lognormal, how can I use the average and standard deviation for this limited set of data to derive the mu and sigma for the entire distribution?

    Thanks in advance for any and all help!

    - Steve J
    Hi Steve J,

    The Wikipedia article on the log-normal distribution,

    Log-normal distribution - Wikipedia, the free encyclopedia,

    gives formulas for mu and sigma in terms of the distribution's mean and standard deviation.
    Follow Math Help Forum on Facebook and Google+

  3. #3
    Junior Member
    Joined
    Nov 2008
    Posts
    44

    Unfortunately, that doesn't seem to cover it

    Thanks for the reply. Unfortunately, Wikipedia only seems to provide information for the entire distribution, the distribution limited to some threshold value of X, and/or the distribution in excess of some value of X. I didn't see anything there about what to do if you need to estimate the mean between two values (i.e., where an upper and lower cap both apply).

    Again, any additional help would be greatly appreciated.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Proving expected value of lognormal distribution
    Posted in the Statistics Forum
    Replies: 1
    Last Post: August 2nd 2010, 11:33 PM
  2. Lognormal distribution's M.G.F?
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: December 27th 2009, 01:52 AM
  3. lognormal distribution
    Posted in the Advanced Statistics Forum
    Replies: 8
    Last Post: May 24th 2009, 02:50 AM
  4. Replies: 0
    Last Post: November 7th 2008, 05:17 AM
  5. Lognormal distribution
    Posted in the Advanced Statistics Forum
    Replies: 2
    Last Post: May 11th 2008, 11:32 PM

Search Tags


/mathhelpforum @mathhelpforum