A closed-form expression for the quantile function of the Gompertz–Makeham distribution

P. Jodrá

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 10, 3069-3075

Abstract: In this note, we give a closed-form expression in terms of the Lambert W function for the quantile function of the Gompertz–Makeham distribution. This probability distribution has frequently been used to describe human mortality and to establish actuarial tables. The analytical expression provided for the quantile function is helpful to generate random samples drawn from the Gompertz–Makeham distribution by means of the inverse transform method.

Keywords: Gompertz–Makeham distribution; Inverse transform method; Lambert W function; Simulation (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:10:p:3069-3075

DOI: 10.1016/j.matcom.2009.02.002

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