The Distribution of Sums of Certain I.I.D. Pareto Variates

DOI10.1080/03610920500476325MaRDI QIDQ5201499zbMATH OpenOpenAlexFDO

Authors Colin M. Ramsay

Publication date 19 April 2006

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920500476325

zbMATH Keywords

exponential integralLaplace transformPareto distributionconvolutioncontour integration

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Convolution as an integral transform (44A35) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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• A solution to the ruin problem for Pareto distributions.
• Aggregation of independent Paretian random variables
• On the Sums of Independently Distributed Pareto Variates
• The Pareto-Levy Law and the Distribution of Income

Cited in

(20)

• On the behavior of the high order stop-loss transform for convolutions with some applications
• Exact laws for sums of ratios of order statistics from the Pareto distribution
• The Paretian ratio distribution -- an application to the volatility of GDP
• The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter
• Aggregation of independent Paretian random variables
• Balancing risk: generation expansion planning under climate mitigation scenarios
• On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
• Penultimate gamma approximation in the CLT for skewed distributions
• A Poisson-Pareto model of chlorophyll-\(a\) fluorescence signals in marine environments
• Generalized PELVE and applications to risk measures
• The distribution of compound sums of Pareto distributed losses
• Risk aggregation in multivariate dependent Pareto distributions
• An evolving model for the lodging-service network in a tourism destination
• scientific article; zbMATH DE number 813742 (Why is no real title available?)
• Dependence modeling of frequency-severity of insurance claims using waiting time
• Tail asymptotic expansions for \(L\)-statistics
• Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• Series expansions for convolutions of Pareto distributions
• On the convolution of Pareto and gamma distributions

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