Joint probability generating function for a vector of arbitrary indicator variables

  • Authors:

  • Nikolai Kolev;Ekaterina T. Kolkovska;José Alfredo López-Mimbela

  • Affiliations:

  • Department of Statistics, University of São Paulo, Cx. Postal 66.281, 05311-970, São Paulo, SP, Brazil;Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato 36000, Mexico;Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato 36000, Mexico

  • Venue:
  • Journal of Computational and Applied Mathematics - Special issue: Jef Teugels
  • Year:
  • 2006

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Abstract

We obtain formulas for the probability generating function of general multivariate Bernoulli distributions, and for the moment generating function of the aggregate claim amount for individual risk models with dependencies. Several examples are given.