Abstract
It is commonly thought that the characteristic function (Fourier transform) of the Pareto distribution has no known functional form (e.g. SEAL, 1978, PP. 14, 4 ° , 57)- This is quite untrue. Nevertheless the characteristic function of the Pareto density is conspicuously absent from standard reference works even when the Pareto distribution itself receives substantial comment (e.g. HAIGHT, 1961 ; JOHNSON and KOTZ, 1970, Ch. 19; PATEL, KAPADIA and OWEN, 1976, § 1. 5)-
Volume
11:1
Page
61-72
Year
1980
Categories
Financial and Statistical Methods
Aggregation Methods
Fourier
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
