On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds (CROSBI ID 237220)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Nadarajah, Saralees ; Zhang, Yuanyuan ; Poganj, Tibor
engleski
On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds
A longstanding open problem in statistics is: what is the exact distribution of the sum of independent generalized Pareto or Pareto random variables? Here, we derive single integral representations for the exact distribution with the integrand involving the incomplete and complementary incomplete gamma functions. Applications to insurance and catastrophe bonds are described.
Characteristic function ; Generalized Pareto distribution ; Incomplete gamma function.
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Podaci o izdanju
32 (2)
2018.
296-305
objavljeno
0269-9648
1469-8951
10.1017/S0269964817000055