Efficient expressions for moments of dependent random sums using copulas

Xiao Jiang; Saralees Nadarajah

doi:10.1016/j.cam.2018.12.037

Efficient expressions for moments of dependent random sums using copulas

Xiao Jiang, Saralees Nadarajah^*

^*Corresponding author for this work

Division of Cardiovascular Sciences (L5)

Research output: Contribution to journal › Article › peer-review

121 Downloads (Pure)

Abstract

Mao and Zhao (2014) derived the mean and variance of a dependent random sum, where the dependence was specified by a copula. Here, we derive expressions for the general moment of the dependent random sum. We also extend Mao and Zhao's results to the case that the components of the sum are not identically distributed. The practical usefulness of the results (in terms of computational time and computational accuracy) is examined by simulation.

Original language	English
Pages (from-to)	130-139
Number of pages	10
Journal	Journal of Computational and Applied Mathematics
Volume	353
Early online date	31 Dec 2018
DOIs	https://doi.org/10.1016/j.cam.2018.12.037
Publication status	Published - 1 Jun 2019

Keywords

Farlie–Gumbel–Morgenstern copula
Insurance
Inter-arrival time
Poisson process

Access to Document

10.1016/j.cam.2018.12.037

copulamomentRAccepted author manuscript, 204 KBLicence: CC BY-NC-ND

Cite this

@article{78ea8eeb27f14ee2af3824eb6f65fedf,

title = "Efficient expressions for moments of dependent random sums using copulas",

abstract = "Mao and Zhao (2014) derived the mean and variance of a dependent random sum, where the dependence was specified by a copula. Here, we derive expressions for the general moment of the dependent random sum. We also extend Mao and Zhao's results to the case that the components of the sum are not identically distributed. The practical usefulness of the results (in terms of computational time and computational accuracy) is examined by simulation.",

keywords = "Farlie–Gumbel–Morgenstern copula, Insurance, Inter-arrival time, Poisson process",

author = "Xiao Jiang and Saralees Nadarajah",

year = "2019",

month = jun,

day = "1",

doi = "10.1016/j.cam.2018.12.037",

language = "English",

volume = "353",

pages = "130--139",

journal = "Journal of Computational and Applied Mathematics",

issn = "0377-0427",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Efficient expressions for moments of dependent random sums using copulas

AU - Jiang, Xiao

AU - Nadarajah, Saralees

PY - 2019/6/1

Y1 - 2019/6/1

N2 - Mao and Zhao (2014) derived the mean and variance of a dependent random sum, where the dependence was specified by a copula. Here, we derive expressions for the general moment of the dependent random sum. We also extend Mao and Zhao's results to the case that the components of the sum are not identically distributed. The practical usefulness of the results (in terms of computational time and computational accuracy) is examined by simulation.

AB - Mao and Zhao (2014) derived the mean and variance of a dependent random sum, where the dependence was specified by a copula. Here, we derive expressions for the general moment of the dependent random sum. We also extend Mao and Zhao's results to the case that the components of the sum are not identically distributed. The practical usefulness of the results (in terms of computational time and computational accuracy) is examined by simulation.

KW - Farlie–Gumbel–Morgenstern copula

KW - Insurance

KW - Inter-arrival time

KW - Poisson process

UR - http://www.scopus.com/inward/record.url?scp=85059810523&partnerID=8YFLogxK

U2 - 10.1016/j.cam.2018.12.037

DO - 10.1016/j.cam.2018.12.037

M3 - Article

AN - SCOPUS:85059810523

SN - 0377-0427

VL - 353

SP - 130

EP - 139

JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

ER -

Efficient expressions for moments of dependent random sums using copulas

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this