On the Distribution of a Sum of Sarmanov Distributed Random Variables |
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Authors: | Raluca Vernic |
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Affiliation: | 1.Faculty of Mathematics and Computer Science,Ovidius University of Constanta,Constanta,Romania;2.Institute for Mathematical Statistics and Applied Mathematics,Bucharest,Romania |
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Abstract: | Built from given marginals with a flexible dependency structure, Sarmanov’s family of multivariate distributions became of interest in various fields. In this paper, we present some formulas for the density of the sum of several random variables joined by Sarmanov’s distribution, with accent on the particular case of exponentially distributed marginals. Such results are useful in solving, e.g., financial and actuarial problems. |
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