Link Between Mixed Poisson Distributions and Exponential Mixtures

Moses Wamalwa (Autor)

Buch | Softcover

304 Seiten

2017
Scholar's Press (Verlag)
978-3-639-70095-4 (ISBN)

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The hazard function of an exponential mixture characterizes an infinitely divisible mixed Poisson distribution which is also a compound Poisson distribution. A sum of hazard functions of exponential mixtures characterizes a convolution of infinitely divisible mixed Poisson distributions which is also a convolution of compound Poisson distributions. Laplace transforms of sums of independent continuous random variables has been obtained as an alternative method of obtaining hazard functions of exponential mixtures. Using the relationship between hazard functions and mean excess function, (also known as mean residual lifetime) of a distribution, the hazard function of Benktander II distribution is obtained as a sum of hazard functions of a Pareto and exponential-Hougaard distributions. Given the hazard function of an exponential mixture, the probability generating functions (pgf) of the compound Poisson distribution and its independent and identically distributed (iid) random variables are derived. The recursive form of the distribution of the iid random variables for the Hofmann distribution follows Panjer's model. Hofmann hazard function has been discussed and re-parameterized.

Dr. Moses Wamalwa Wakoli teaches in the department of Statistics and Actuarial Science at the Technical University of Kenya, and he is also the Deputy Registrar, Examination and Certification. He has a Ph.D. in Mathematical Statistics from the University of Nairobi, Kenya and has published with Mathematical Theory and Modeling journal.

Erscheinungsdatum	23.09.2022
Sprache	englisch
Maße	150 x 220 mm
Gewicht	469 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	characterization • compound Poisson distribution • convolutions • exponential mixtures • Hofmann hazard functions • Laplace transform • mixed Poisson distribution • Panjer's recursive model
ISBN-10	3-639-70095-3 / 3639700953
ISBN-13	978-3-639-70095-4 / 9783639700954
Zustand	Neuware