Abstract:The distribution of the sum of negative binomial random variables has a special role in insurance mathematics, actuarial sciences, and ecology. Two methods to estimate this distribution have been published: a finite-sum exact expression and a series expression by convolution. We compare both methods, as well as a new normalized saddlepoint approximation, and normal and single distribution negative binomial approximations. We show that the exact series expression used lots of memory when the number of random va… Show more
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