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, São Paulo, SP, Brazil;Centro de Investigación en Matemáticas, Guanajuato, Mexico;Centro de Investigación en Matemáticas, Guanajuato, 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.