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EXPANSIONS FOR MOMENTS OF COMPOUND POISSON DISTRIBUTIONS
Published online by Cambridge University Press: 28 March 2013
Abstract
Expansions for moments of $\overline{X}$, the mean of a random sample of size n, are given for both the univariate and multivariate cases. The coefficients of these expansions are simply Bell polynomials. An application is given for the compound Poisson variable SN, where $S_{n} = n \overline{X}$ and N is a Poisson random variable independent of X1, X2, …, yielding expansions that are computationally more efficient than the Panjer recursion formula and Grubbström and Tang's formula.
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- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 27 , Issue 3 , July 2013 , pp. 319 - 331
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- Copyright © Cambridge University Press 2013
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