Exact Distributions of Products of Certain Random Variables

Consider a Γ-distributed random variable X and a random variable Y with a probability distribution of exponential, Γ, Weibull, Pareto or log-normal type. In this paper the exact distributions of the products XY for the different cases with respect to Y are derived. For illustration an application is outlined, which involves modelling the claim amount of an insurance company over a given period.

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Year of publication:	2008
Authors:	Saralees, Nadarajah
Published in:	Economic Quality Control. - De Gruyter. - Vol. 23.2008, 1, p. 15-27
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011015832