ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS-Reference-Cited by-同舟云学术

ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS

Published:2017-04-04 Issue:2 Volume:32 Page:296-305
ISSN:0269-9648
Container-title:Probability in the Engineering and Informational Sciences
language:en
Short-container-title:Prob. Eng. Inf. Sci.

Author:

Nadarajah Saralees,Zhang Yuanyuan,Pogány Tibor K.

Abstract

We derive single integral representations for the exact distribution of the sum of independent generalized Pareto random variables. The integrands involve the incomplete and complementary incomplete gamma functions. Applications to insurance and catastrophe bonds are described.

Publisher

Cambridge University Press (CUP)

Subject

Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability

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