메뉴 건너뛰기




Volumn 46, Issue 1, 2009, Pages 272-283

On the sums of compound negative binomial and gamma random variables

Author keywords

Compound negative binomial distribution; Compound poisson distribution; Convolution; Poisson process; Random parameter representation; Sums of gamma random variables

Indexed keywords


EID: 64249148789     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1238592129     Document Type: Article
Times cited : (17)

References (13)
  • 1
    • 64249124515 scopus 로고    scopus 로고
    • On the computation of the capital multiplier in the Fortis credit economic capital model
    • DHAENE, J. et al. (2003). On the computation of the capital multiplier in the Fortis credit economic capital model. Belg. Actuarial Bull. 3, 50-57.
    • (2003) Belg. Actuarial Bull , vol.3 , pp. 50-57
    • DHAENE, J.1
  • 2
    • 64249132419 scopus 로고
    • Bounds for tail probabilities of weighted sums of independent gamma random variables
    • Topics In Statistical Dependence, Institute of Mathematical Statistics, Hayward, CA, pp
    • DIACONIS, P. AND PERLMAN, M. D. (1990). Bounds for tail probabilities of weighted sums of independent gamma random variables. In Topics In Statistical Dependence (IMS Lecture Notes Monogr. Ser. 16), Institute of Mathematical Statistics, Hayward, CA, pp. 147-166.
    • (1990) IMS Lecture Notes Monogr. Ser , vol.16 , pp. 147-166
    • DIACONIS, P.1    PERLMAN, M.D.2
  • 3
    • 64249154610 scopus 로고    scopus 로고
    • On the moments of the time of ruin with applications to phase-type claims
    • DREKIC, S. AND WILLMOT, G. E. (2005). On the moments of the time of ruin with applications to phase-type claims. N. Amer. Actuarial J. 9, 17-30.
    • (2005) N. Amer. Actuarial J , vol.9 , pp. 17-30
    • DREKIC, S.1    WILLMOT, G.E.2
  • 4
    • 0041414956 scopus 로고
    • A characterization of the gamma distribution by the negative binomial distribution
    • ENGEL, J. AND ZIJLSTRA, M. (1980). A characterization of the gamma distribution by the negative binomial distribution. J.Appl. Prob. 17, 1138-1144.
    • (1980) J.Appl. Prob , vol.17 , pp. 1138-1144
    • ENGEL, J.1    ZIJLSTRA, M.2
  • 5
    • 33750990477 scopus 로고    scopus 로고
    • On the convolution of negative binomial random variables
    • FURMAN, E. (2007). On the convolution of negative binomial random variables. Statist. Prob. Lett. 77, 169-172.
    • (2007) Statist. Prob. Lett , vol.77 , pp. 169-172
    • FURMAN, E.1
  • 9
    • 84869794490 scopus 로고
    • Finite sum evaluation of negative binomial-exponential model
    • PANJER, H. H. AND WILLMOT, G. E. (1981). Finite sum evaluation of negative binomial-exponential model. ASTIN Bull. 12, 133-137.
    • (1981) ASTIN Bull , vol.12 , pp. 133-137
    • PANJER, H.H.1    WILLMOT, G.E.2
  • 10
    • 0023999987 scopus 로고
    • Reliability of an m-out-of- n system when component failure induces higher failure rates in survivors
    • SCHEUER, E. M. (1988). Reliability of an m-out-of- n system when component failure induces higher failure rates in survivors. IEEE Trans. Reliab. 37, 73-74.
    • (1988) IEEE Trans. Reliab , vol.37 , pp. 73-74
    • SCHEUER, E.M.1
  • 11
    • 0006927664 scopus 로고
    • Point processes with correlated gamma interarrivai times
    • SIM, C. H. (1992). Point processes with correlated gamma interarrivai times. Statist. Prob. Lett. 15, 135-141.
    • (1992) Statist. Prob. Lett , vol.15 , pp. 135-141
    • SIM, C.H.1
  • 12
    • 64249147788 scopus 로고    scopus 로고
    • Some intrinsic properties of the gamma distribution
    • Submitted
    • VELLAISAMY, P. AND SREEHARI, M. (2008). Some intrinsic properties of the gamma distribution. Submitted.
    • (2008)
    • VELLAISAMY, P.1    SREEHARI, M.2
  • 13
    • 33750971731 scopus 로고    scopus 로고
    • On the negative binomial distributions and its generalizations
    • VELLAISAMY, P. AND UPADHYE, N. S. (2007). On the negative binomial distributions and its generalizations. Statist. Prob. Lett. 77, 173-180.
    • (2007) Statist. Prob. Lett , vol.77 , pp. 173-180
    • VELLAISAMY, P.1    UPADHYE, N.S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.