Higher order moments of a sum of random variables: remarks and applications.

Authors

  • Luisa Tibiletti Dipartimento di Statistica e Matematica applicata aIIe Scienze Umane Diego de Castro", Università di Torino, Piazza Arbarcllo 8, 1-10122 Torino (Italy)
  • Ernesto Volpe Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative, Università "La Sapienza", Via Castro Laureziano 9, 1-00161 Roma (Italy)

Keywords:

Higher Order Moments, Cauchy-Schwarz Inequality, Pearson Correlation Coefficient.

Abstract

The moments of a sum of random variables depend on both the pure moments of each random addendum and on the addendum mixed moments. In this note we introduce a simple measure to evaluate the relative impedance to attach to the latter. Once the pure moments are fixed, the functional relation between the random addenda leading to the extreme values is also provided. Applications to Finance, Decision Theory and Actuarial Sciences are also suggested.

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Published

1996-02-18

Issue

Vol. 11 (1996)

Section

Volume 11-1996

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