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

Published online by Cambridge University Press:  04 April 2017

Saralees Nadarajah
Affiliation:
School of Mathematics, University of Manchester, Manchester, UK E-mail: mbbsssn2@manchester.ac.uk
Yuanyuan Zhang
Affiliation:
School of Mathematics, University of Manchester, Manchester, UK
Tibor K. Pogány
Affiliation:
Faculty of Maritime Studies, University of Rijeka, Rijeka, CROATIA

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.

Type
Research Article
Copyright
Copyright © Cambridge University Press 2017 

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