September 2012
Beginner to intermediate
536 pages
14h 40m
English
book
Loss Models: From Data to Decisions, 4th Edition
by Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot
Content preview from Loss Models: From Data to Decisions, 4th Edition
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A.5 Other distributions
A.5.1.1 Lognormal—μ, σ (μ can be negative)
A.5.1.2 Inverse Gaussian—μ, θ
A.5.1.3 log-t—r, μ, σ (μ can be negative) Let Y have a t distribution with r degrees of freedom. Then X = exp(σY + μ) has the log-t distribution. Positive moments do not exist for this distribution. Just as the t distribution has a heavier tail than the normal distribution, this distribution has a heavier tail than the lognormal distribution.
A.5.1.4 Single-parameter Pareto—α, θ
Note: Although there appear to be two parameters, only α is a true parameter. The value of θ must be set in advance.
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