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

  • Saralees Nadarajah (a1), Yuanyuan Zhang (a2) and Tibor K. Pogány (a3)
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.

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Probability in the Engineering and Informational Sciences
  • ISSN: 0269-9648
  • EISSN: 1469-8951
  • URL: /core/journals/probability-in-the-engineering-and-informational-sciences
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