Pregled bibliografske jedinice broj: 865267
On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds
On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds // Probability in the engineering and informational sciences, 32 (2018), 2; 296-305 doi:10.1017/S0269964817000055 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 865267 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds
Autori
Nadarajah, Saralees ; Zhang, Yuanyuan ; Poganj, Tibor
Izvornik
Probability in the engineering and informational sciences (0269-9648) 32
(2018), 2;
296-305
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Characteristic function ; Generalized Pareto distribution ; Incomplete gamma function.
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
Uključenost u ostale bibliografske baze podataka::
- MathSciNet
- Zentrallblatt für Mathematik/Mathematical Abstracts
- Referativnij Zhurnal
