On a stochastic order induced by an extension of Panjer’s family of discrete distributions

Aleksandr Beknazaryan () and Peter Adamic ()
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Aleksandr Beknazaryan: University of Twente
Peter Adamic: Laurentian University

Metrika: International Journal for Theoretical and Applied Statistics, 2022, vol. 85, issue 1, No 4, 67-91

Abstract: Abstract We factorize probability mass functions of discrete distributions belonging to Panjer’s family and to its certain extensions to define a stochastic order on the space of distributions supported on $${\mathbb {N}}_0$$ N 0 . Main properties of this order are presented. Comparison of some well-known distributions with respect to this order allows to generate new families of distributions that satisfy various recurrrence relations. The recursion formula for the probabilities of corresponding compound distributions for one such family is derived. Applications to various domains of reliability theory are provided.

Keywords: Discrete distribution; Stochastic order; Recursion; Compound distribution (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00184-021-00822-5

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