GammaSupp: Moments and Moment Generating Function of the Gamma...

In actuar: Actuarial Functions and Heavy Tailed Distributions

Moments and Moment Generating Function of the Gamma Distribution

Description

Raw moments, limited moments and moment generating function for the Gamma distribution with parameters shape and scale.

Usage

mgamma(order, shape, rate = 1, scale = 1/rate)
levgamma(limit, shape, rate = 1, scale = 1/rate, order = 1)
mgfgamma(t, shape, rate = 1, scale = 1/rate, log = FALSE)

Arguments

order	order of the moment.
limit	limit of the loss variable.
rate	an alternative way to specify the scale.
shape, scale	shape and scale parameters. Must be strictly positive.
t	numeric vector.
log	logical; if TRUE, the cumulant generating function is returned.

Details

The kth raw moment of the random variable X is E[X^k], the kth limited moment at some limit d is E[\min(X, d)^k] and the moment generating function is E[e^{tX}], k > -\alpha.

Value

mgamma gives the kth raw moment, levgamma gives the kth moment of the limited loss variable, and mgfgamma gives the moment generating function in t.

Invalid arguments will result in return value NaN, with a warning.

Author(s)

Vincent Goulet [e-mail], Christophe Dutang and Mathieu Pigeon

References

Johnson, N. L. and Kotz, S. (1970), Continuous Univariate Distributions, Volume 1, Wiley.

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2012), Loss Models, From Data to Decisions, Fourth Edition, Wiley.

See Also

GammaDist

Examples

mgamma(2, 3, 4) - mgamma(1, 3, 4)^2
levgamma(10, 3, 4, order = 2)
mgfgamma(1,3,2)

actuar documentation built on Nov. 8, 2023, 9:06 a.m.