Negative-binomial sum of exponential claims

ID: negative-binomial-sum-of-exponential-claims

Let and let the original independent count have negative binomial distribution with probability mass function on . With unit-rate exponential distribution severities, its moment-generating function is for . Thus it also has a random sum of independent claims representation with independent binomial distribution count and rate- exponential distribution steps. For the law is . The hurdle decomposition of a positive random sum therefore has zero mass and positive density .

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