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
Cited by
7 articles.
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