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Moments of Compound Mixed Poisson Distributions

Author

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  • Stathis Chadjiconstantinidis
  • Demetrios Antzoulakos

Abstract

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.

Suggested Citation

  • Stathis Chadjiconstantinidis & Demetrios Antzoulakos, 2002. "Moments of Compound Mixed Poisson Distributions," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2002(3), pages 138-161.
    • Handle: RePEc:taf:sactxx:v:2002:y:2002:i:3:p:138-161
    DOI: 10.1080/034612302320179845
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