Exact Distributions of Products of Certain Random Variables

Nadarajah Saralees
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Nadarajah Saralees: School of Mathematics, University of Manchester, Manchester M60 1QD, Great Britain

Stochastics and Quality Control, 2008, vol. 23, issue 1, 15-27

Abstract: Consider a Γ-distributed random variable X and a random variable Y with a probability distribution of exponential, Γ, Weibull, Pareto or log-normal type. In this paper the exact distributions of the products XY for the different cases with respect to Y are derived. For illustration an application is outlined, which involves modelling the claim amount of an insurance company over a given period.

Keywords: Exponential; Gamma; log-normal; Pareto; Weibull; claim amount (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1515/EQC.2008.15

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