Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums

The complete class of all bivariate distributions with given diatomic conditionals is characterized in terms of the marginal probabilities and the correlation coefficient. The result is used to construct a bivariate distribution which maximizes the stop-loss transform of a random sum by known mean and standard deviation of its sum components.

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Year of publication:	1993
Authors:	Hürlimann, Werner
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 17.1993, 4, p. 329-335
Publisher:	Elsevier
Keywords:	Discrete bivariate distribution conditional probability diatomic random variable stop-loss transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319528