On compound sums under dependence
| dc.contributor.author | Eryilmaz, Serkan | |
| dc.date.accessioned | 2024-07-05T14:30:37Z | |
| dc.date.available | 2024-07-05T14:30:37Z | |
| dc.date.issued | 2017 | |
| dc.description | Eryilmaz, Serkan/0000-0002-2108-1781 | en_US |
| dc.description.abstract | In this paper, we study the compound random variable S = Sigma(N)(t-1) Y-t when there is a dependence between a random variable N and a sequence of random variables {Y-t}(t >= 1). Such a compound random variable has been found to be useful in several fields including actuarial science, risk management, and reliability. In particular, we develop some results on distributional properties of the random variable S when N is a phase-type random variable that is defined on a sequence of binary trials and depends on {Y-t}(t >= 1). We "present illustrative examples and an application for the use of results in actuarial science. (C) 2016 Elsevier B.V. All rights reserved. | en_US |
| dc.identifier.doi | 10.1016/j.insmatheco.2016.12.003 | |
| dc.identifier.issn | 0167-6687 | |
| dc.identifier.issn | 1873-5959 | |
| dc.identifier.scopus | 2-s2.0-85007129517 | |
| dc.identifier.uri | https://doi.org/10.1016/j.insmatheco.2016.12.003 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/586 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Insurance: Mathematics and Economics | |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Compound distributions | en_US |
| dc.subject | Dependence | en_US |
| dc.subject | Phase-type distributions | en_US |
| dc.subject | Probability generating function | en_US |
| dc.subject | Waiting times | en_US |
| dc.title | On compound sums under dependence | en_US |
| dc.type | Article | en_US |
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| gdc.author.id | Eryilmaz, Serkan/0000-0002-2108-1781 | |
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| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Eryilmaz, Serkan] Atilim Univ, Dept Ind Engn, TR-06836 Ankara, Turkey | en_US |
| gdc.description.endpage | 234 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 228 | en_US |
| gdc.description.volume | 72 | en_US |
| gdc.description.wosquality | Q1 | |
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| gdc.oaire.keywords | Applications of statistics to actuarial sciences and financial mathematics | |
| gdc.oaire.keywords | compound distributions | |
| gdc.oaire.keywords | waiting times | |
| gdc.oaire.keywords | Risk theory, insurance | |
| gdc.oaire.keywords | Probability distributions: general theory | |
| gdc.oaire.keywords | dependence | |
| gdc.oaire.keywords | phase-type distributions | |
| gdc.oaire.keywords | probability generating function | |
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| gdc.virtual.author | Eryılmaz, Serkan | |
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