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Multivariate Compound Poisson Distributions and Infinite Divisibility

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  • Sundt, Bjørn

Abstract

In this note we give a multivariate extension of the proof of Ospina & Gerber (1987) of the result of Feller (1968) that a univariate distribution on the non-negative integers is infinitely divisible if and only if it can be expressed as a compound Poisson distribution.

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  • Sundt, Bjørn, 2000. "Multivariate Compound Poisson Distributions and Infinite Divisibility," ASTIN Bulletin, Cambridge University Press, vol. 30(2), pages 305-308, November.
    • Handle: RePEc:cup:astinb:v:30:y:2000:i:02:p:305-308_01
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    Cited by:

    1. Veraart, Almut E.D., 2019. "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 110-129.
    2. Sundt, Bjorn, 2000. "The multivariate De Pril transform," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 123-136, August.

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