On the Distribution of a Sum of Sarmanov Distributed Random Variables

Raluca Vernic ()
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Raluca Vernic: Ovidius University of Constanta

Journal of Theoretical Probability, 2016, vol. 29, issue 1, 118-142

Abstract: Abstract Built from given marginals with a flexible dependency structure, Sarmanov’s family of multivariate distributions became of interest in various fields. In this paper, we present some formulas for the density of the sum of several random variables joined by Sarmanov’s distribution, with accent on the particular case of exponentially distributed marginals. Such results are useful in solving, e.g., financial and actuarial problems.

Keywords: Sarmanov multivariate distribution; Exponential distribution; Sum of dependent random variables; Capital allocation; 60E05; 62E15; 60-08; 91B30 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-014-0571-y

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