On a multivariate gamma distribution
نویسنده
چکیده
A multivariate probability model possessing a dependence structure that is reflected in its variance–covariance structure and gamma distributed univariate margins is introduced and studied. In particular, the higher order moments and cumulants, Chebyshevtype inequalities and multivariate probability density functions are derived. The model suggested herein is believed to be capable of describing dependent insurance losses. c © 2008 Elsevier B.V. All rights reserved.
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