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Geometric sum of shape-two gamma variables (S=dExp(a)+Exp(b))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Actuarial statistics Aggregate claims model Random sum of independent claims Geometric-sum moment-generating function
2026-10-07  0 By others on same topic  0 Discussions Create my own version
Let the summands have gamma distribution with shape two and rate β, and let the independent positive-support geometric distribution count have parameter p. Put a=β(1−1−p​) and b=β(1+1−p​). The aggregate moment-generating function factors as ab/((a−t)(b−t)), so it is the sum of two independent exponential distributions of rates a,b. Its probability density function is ab(e−as−e−bs)/(b−a) for s>0, nonnegative and integrating to one. This contrasts with the geometric sum of exponential variables, which is itself exponential.

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  1. Geometric-sum moment-generating function
  2. Random sum of independent claims
  3. Aggregate claims model
  4. Actuarial statistics
  5. Probability and statistics
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 40 / 1 / c / Solution

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