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Activity Number:
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523
- Contributed Poster Presentations: Section on Risk Analysis
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Type:
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Contributed
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Date/Time:
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Wednesday, August 2, 2017 : 10:30 AM to 12:20 PM
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Sponsor:
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Scientific and Public Affairs Advisory Committee
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Abstract #324181
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Title:
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On Sums of Independent Generalized Pareto Random Variables with Applications to Insurance and CAT Bonds
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Author(s):
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Yuanyuan Zhang*
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Companies:
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University of Manchester
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Keywords:
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Characteristic function ;
Generalized Pareto distribution ;
Incomplete gamma function
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Abstract:
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We derive single integral representations for the exact distribution of the sum of independent generalized Pareto random variables. The integrands involve the incomplete and complementary incomplete gamma functions. Applications to insurance and catastrophe bonds are described.
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Authors who are presenting talks have a * after their name.
