RiskLognorm

Description

RiskLognorm(mean, standard deviation) specifies a lognormal distribution with parameters mean and standard deviation. The arguments for this form of the lognormal distribution specify the actual mean and standard deviation of the distribution. This distribution is often used to model the product of several random variables, just as the normal distribution is used to model the sum of several random variables. For example, it is often used to model the future value of an asset (the product of the current value and a number of percentage changes). It is also used in the oil industry to model reserves. The lognormal distribution has a number of desirable properties for modeling real world processes. It is skewed, and it has a positive and unbounded range.

Examples

RiskLognorm(10,20) returns a lognormal distribution with mean 10 and standard deviation 20.

RiskLognorm(C10*3.14,B10) returns a lognormal distribution mean equal to the value in cell C10 times 3.14 and standard deviation equal to the value in cell B10.

Guidelines

Both mean and standard deviation must be positive.

Parameters

     continuous parameter      

     continuous parameter      

Domain

     continuous

Density and Cumulative Distribution Functions

with

and

Here, is the cumulative distribution function of a Normal(0,1).

Mean

Variance

Skewness

Kurtosis

with

Mode

Examples