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Chapter 11: Solution 11.8

J

jensen

Member
Chapter 11: Solution 11.8 [2011]

Hi

The solution attempts to show us how to work out the skewness for a compound poisson distribution, but I don't get how the first three equations come about.

Can someone please explain further?

Thanks.
 
Last edited by a moderator:
The first equation is the third moment. The formula within the integral comes is the pdf of the Pareto distribution, found two-thirds down page 14 of the Tables.

This is messy to integrate, so instead we use the three-parameter version at the top of page 15 of the Tables. The second equation relies on the integral of a pdf being unity. In the third equation we've written one equation in the same format as the other, using a fiddle factor (the gamma parameters) to get it into the same format. Email me if you can't follow it through now (equations don't work well on forums)!
 
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