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Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums

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  • Hürlimann, Werner

Abstract

The complete class of all bivariate distributions with given diatomic conditionals is characterized in terms of the marginal probabilities and the correlation coefficient. The result is used to construct a bivariate distribution which maximizes the stop-loss transform of a random sum by known mean and standard deviation of its sum components.

Suggested Citation

  • Hürlimann, Werner, 1993. "Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums," Statistics & Probability Letters, Elsevier, vol. 17(4), pages 329-335, July.
    • Handle: RePEc:eee:stapro:v:17:y:1993:i:4:p:329-335
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    Cited by:

    1. Zhang, Jianjun & Qiu, Chunjuan & Wu, Xianyi, 2018. "Bayesian ratemaking with common effects modeled by mixture of Polya tree processes," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 87-94.
    2. Yi, Zhang & Weng, Chengguo, 2006. "On the correlation order," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1410-1416, July.

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