On a multivariate gamma distribution

A multivariate probability model possessing a dependence structure that is reflected in its variance-covariance structure and gamma distributed univariate margins is introduced and studied. In particular, the higher order moments and cumulants, Chebyshev-type inequalities and multivariate probability density functions are derived. The model suggested herein is believed to be capable of describing dependent insurance losses.

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Year of publication:	2008
Authors:	Furman, Edward
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 15, p. 2353-2360
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005319717