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

DOI10.1017/S0269964817000055zbMath1411.60067OpenAlexW2605142690MaRDI QIDQ4629425

Yuan-Yuan Zhang, Tibor K. Pogány, Saralees Nadarajah

Publication date: 27 March 2019

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964817000055

zbMATH Keywords

incomplete gamma functioncharacteristic functiongeneralized Pareto distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Sums of independent random variables; random walks (60G50)

Related Items (3)

Tail bounds for sum of gamma variables and related inferences ⋮ The min-characteristic function: characterizing distributions by their min-linear projections ⋮ On the tail behaviour of aggregated random variables

Cites Work

• On ruin probability and aggregate claim representations for Pareto claim size distributions
• On the Laplace transform of the Pareto distribution
• On the characteristic functions for extreme value distributions
• Statistical inference using extreme order statistics
• Series expansions for convolutions of Pareto distributions
• Exact waiting time and queue size distributions for equilibrium \(M/G/1\) queues with Pareto service
• The distribution of compound sums of Pareto distributed losses
• Multi-precision Laplace transform inversion
• The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral
• The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter
• The Distribution of Sums of Certain I.I.D. Pareto Variates
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• On A Surplus Process Under A Periodic Environment
• Loss Models

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