Adding gammas

Stuart Klugman ( stuart.klugman@drake.edu )
Sun, 14 Nov 1999 15:17:43 -0600

If the gammas are truncated before adding, you are out of luck for a closed form solution. If enough gammas are being added, the Central Limit Theorem indicates that a normal approximation based on matching the mean and variance is in order. Truncating is likely to make it so fewer need to be added so this is true.

If you need some comfort level regarding the normal approximation, you might want to simulate a few thousand of the sums and see what it looks like.

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Stuart Klugman, FSA, PhD
Principal Financial Group Professor of Actuarial Science
Drake University
2507 University Avenue
Des Moines, IA 50311 USA
ph: 515-271-4097
e-mail: Stuart.Klugman@drake.edu
Drake Act. Sci. web site: www.drake.edu/cbpa/acts

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