Covariance Identities and Variance Bounds for Infinitely Divisible Random Variables and Their Applications

Fuente: arXiv
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Autori principali: Barman, Kalyan, Upadhye, Neelesh S, Vellaisamy, Palaniappan
Natura: Preprint
Pubblicazione: 2024
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author Barman, Kalyan
Upadhye, Neelesh S
Vellaisamy, Palaniappan
author_facet Barman, Kalyan
Upadhye, Neelesh S
Vellaisamy, Palaniappan
contents In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. Applications to some important distributions are discussed, in addition to the computation of variance bounds for certain posterior distributions. As another application, we derive the Stein-type identity for the IDD, which involves the L'evy measure. This result in turn is used to derive the Stein-type identity for the CGMY distributions and the variance-gamma distributions (VGD). This approach, especially for the VGD is new and simpler, compared to the ones available in the literature. Finally, as another nontrivial application, we apply the covariance identity in deriving known and some new formulas for the weighted premium calculation principles (WPCP) and Gini coefficient for the IDD.
format Preprint
id arxiv_https___arxiv_org_abs_2408_01237
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Covariance Identities and Variance Bounds for Infinitely Divisible Random Variables and Their Applications
Barman, Kalyan
Upadhye, Neelesh S
Vellaisamy, Palaniappan
Probability
60E05, 60E07, 62F15, 62P05
In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. Applications to some important distributions are discussed, in addition to the computation of variance bounds for certain posterior distributions. As another application, we derive the Stein-type identity for the IDD, which involves the L'evy measure. This result in turn is used to derive the Stein-type identity for the CGMY distributions and the variance-gamma distributions (VGD). This approach, especially for the VGD is new and simpler, compared to the ones available in the literature. Finally, as another nontrivial application, we apply the covariance identity in deriving known and some new formulas for the weighted premium calculation principles (WPCP) and Gini coefficient for the IDD.
title Covariance Identities and Variance Bounds for Infinitely Divisible Random Variables and Their Applications
topic Probability
60E05, 60E07, 62F15, 62P05
url https://arxiv.org/abs/2408.01237