COMPUTING MOMENTS OF COMPOUND DISTRIBUTIONS

R Kaas and Marc Goovaerts

No 293076, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: The first few moments of compound distributions may be obtained by conditioning on the number of terms. It is shown how this method can be adapted to construct a recursive scheme for computing higher order moments of compound distributions.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 9
Date: 1984-10-15
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293076

DOI: 10.22004/ag.econ.293076

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