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#1
01-09-2008, 01:35 PM
 shluffer Member CAS Join Date: Aug 2002 Posts: 489
RMS / statistics question

in RMS an assumption is made that gross of per risk, ceded to per risk and net of per risk are all three beta distributions. Would anyone happen to know if the sum of two beta distributions is a beta distribution? If not, what assumption is made in RMS to get this to work?
#2
01-10-2008, 07:06 AM
 diegol Member Join Date: May 2002 Posts: 207

> Would anyone happen to know if the sum of two beta distributions is a beta distribution?

I view of this: http://www.groupsrv.com/science/about10341.html I would guess not.
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Diegol
#3
01-10-2008, 01:29 PM
 BassFreq Member CAS Join Date: Jun 2003 Location: Chicago Studying for all eternity Favorite beer: Duff Posts: 1,214

I don't believe that If X and Y are beta distributed then their sum is also beta distributed. However, considering the flexibility of the Beta, I wouldn't be surprised if the sum is close enough to beta distributed.
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#4
01-10-2008, 02:31 PM
 shluffer Member CAS Join Date: Aug 2002 Posts: 489

#5
01-10-2008, 10:10 PM
 Ganymede Member Join Date: Mar 2007 Posts: 143

Here is an easy way to see it. Beta distributions go between 0 and 1. The sum of two betas go between 0 and 2.
#6
01-11-2008, 10:29 AM
 BassFreq Member CAS Join Date: Jun 2003 Location: Chicago Studying for all eternity Favorite beer: Duff Posts: 1,214

Moran!
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