Result: New bivariate probability models based on Panjer-type relations

Title:
New bivariate probability models based on Panjer-type relations
Authors:
Cadena, Meitner, Masjed-Jamei, Mohammad, Omey, Edward, Vesilo, Rein
Contributors:
Milovanović, Gradimir V.
Source:
Bulletin T.CLVI de l’Académie serbe des sciences et des arts
Publisher Information:
Beograd : Académie Serbe des sciences et des arts, 2024.
Publication Year:
2024
Subject Terms:
empirical probability generating function, Discrete bivariate random variable, Panjer-type relations, power series distribution, probability generating function
Document Type:
Academic journal Article
Language:
English
Access URL:
https://hdl.handle.net/21.15107/rcub_dais_17147
https://dais.sanu.ac.rs/123456789/17147
Rights:
CC BY NC ND
Accession Number:
edsair.dedup.wf.002..b63dd863662559f7f632a407a9605113
Database:
OpenAIRE

Further Information

Large families of bivariate probability models based on Panjer-type relations are proposed. These relations are generated by differential equations of probability generating functions (p.g.fs), expressed by rational functions that incorporate parameters. In this setting, models are not explicit, but their p.g.fs may be obtained explicitly by solving such differential equations. Then, for parameter estimation, minimization of distances between p.g.fs and empirical p.g.fs is used. Numerical applications to real data sets are presented. AMS Mathematics Subject Classification (2020): 60E05, 62E10.
Bulletin t. 156 de l'Académie serbe des sciences et des arts. Classe des sciences mathématiques et naturelles. Sciences mathematiques no 48