Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/42949
Título: Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications
Autores/as: Gómez Déniz, Emilio 
Sarabia, José María
Calderín Ojeda, Enrique
Clasificación UNESCO: 1209 Estadística
Palabras clave: Método de Gauss
Distribución
Fecha de publicación: 2008
Editor/a: 0167-6687
Publicación seriada: Insurance: Mathematics and Economics 
Conferencia: 9th International Congress on Insurance - Mathematics and Economics 
Resumen: In this paper we propose a new compound negative binomial distribution by mixing the p negative binomial parameter with an inverse Gaussian distribution and where we consider the reparameterization p = exp (- λ). This new formulation provides a tractable model with attractive properties which make it suitable for application not only in the insurance setting but also in other fields where overdispersion is observed. Basic properties of the new distribution are studied. A recurrence for the probabilities of the new distribution and an integral equation for the probability density function of the compound version, when the claim severities are absolutely continuous, are derived. A multivariate version of the new distribution is proposed. For this multivariate version, we provide marginal distributions, the means vector, the covariance matrix and a simple formula for computing multivariate probabilities. Estimation methods are discussed. Finally, examples of application for both univariate and bivariate cases are given.
URI: http://hdl.handle.net/10553/42949
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2006.12.001
Fuente: Insurance: Mathematics and Economics[ISSN 0167-6687],v. 42, p. 39-49
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