On computational formulas for densities and moments of compound distributions (Q1586596)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On computational formulas for densities and moments of compound distributions
scientific article

    Statements

    On computational formulas for densities and moments of compound distributions (English)
    0 references
    0 references
    0 references
    13 June 2001
    0 references
    Let \((X_k)\), \(k\geq 1\), be a sequence of i.i.d.\ r.v. Let \(N\) be a counting variate independent of \((X_k)\). Let \(Y=X_1+X_2+\cdots +X_N\). \textit{G. E. Willmot} and \textit{H. H. Panjer} [Insur. Math. Econ. 6, 43-56 (1987; Zbl 0613.62020)] and \textit{B. Sundt} [ASTIN Bull. 22, 61-80 (1992)] found the computational formulae for the density of \(Y\) when the distribution of \(N\) satisfies the first-order linear difference equation \[ (an+1)p_n=[b(n-1)+c]p_{n-1}, \quad n\geq 1, \] or the first-order quadratic difference equation \[ [n(n-1)+an]p_n=[b(n-1)(n-2)+c(n-1)+d]p_{n-1}, \quad n\geq 1. \] The authors give the recurrence formulae for the density of \(Y\) when the distribution of \(N\) belongs to the Ord family, i.e. such that \(p_n={\mathbf P}(N=n)\) satisfies \[ [\alpha n^2+\beta n+\gamma]p_n=[\alpha n^2+(\beta-1) n+\gamma+\delta]p_{n-1}, \quad n\geq 1. \] Moreover, the frequency distributions satisfying \[ (n+c)p_n=(an+ac+b)p_{n-1}, \quad n\geq n_0, \] are also considered. Many examples for concrete distributions are given.
    0 references
    compound distribution
    0 references
    difference equation
    0 references
    Laplace transform
    0 references
    moments of compound distribution
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references