On a Multivariate Gamma Distribution

Statistics and Probability Letters, Vol. 78, No. 15, 2007

8 Pages Posted: 29 Jul 2010

See all articles by Edward Furman

Edward Furman

York University - Department of Mathematics and Statistics

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

Suggested Citation

Furman, Edward, On a Multivariate Gamma Distribution (July 28, 2007). Statistics and Probability Letters, Vol. 78, No. 15, 2007 , Available at SSRN: https://ssrn.com/abstract=1650364

Edward Furman (Contact Author)

York University - Department of Mathematics and Statistics ( email )

4700 Keele Street
Toronto, M3J 1P3
Canada

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