On a Multivariate Gamma Distribution
Statistics and Probability Letters, Vol. 78, No. 15, 2007
8 Pages Posted: 29 Jul 2010
Date Written: July 28, 2007
Abstract
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’s type inequalities and multivariate probability distribution functions are derived. The herein suggested model is believed to be capable of describing dependent insurance losses.
Keywords: Multivariate reduction, multivariate ladder-type gamma distributions, dependent insurance losses
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