Extended negative binomial distribution
In probability and statistics the extended negative binomial distribution is a discrete probability distribution extending the negative binomial distribution. It is a truncated version of the negative binomial distribution for which estimation methods have been studied.
In the context of actuarial science, the distribution appeared in its general form in a paper by K. Hess, A. Liewald and K.D. Schmidt when they characterized all distributions for which the extended Panjer recursion works. For the case m = 1, the distribution was already discussed by Willmot and put into a parametrized family with the logarithmic distribution and the negative binomial distribution by H.U. Gerber.
Probability mass function
For a natural number m ≥ 1 and real parameters p, r with 0 < p ≤ 1 and –m < r < –m + 1, the probability mass function of the ExtNegBin(m, r, p) distribution is given by
Probability generating function
Using that f ( . ; m, r, ps) for s ∈ (0, 1] is also a probability mass function, it follows that the probability generating function is given by
For the important case m = 1, hence r ∈ (–1, 0), this simplifies to
- Jonhnson, N.L.; Kotz, S.; Kemp, A.W. (1993) Univariate Discrete Distributions, 2nd edition, Wiley ISBN 0-471-54897-9 (page 227)
- Shah S.M. (1971) "The displaced negative binomial distribution", Bulletin of the Calcutta Statistical Association, 20, 143–152
- Hess, Klaus Th.; Anett Liewald; Klaus D. Schmidt (2002). "An extension of Panjer's recursion" (PDF). ASTIN Bulletin. 32 (2): 283–297. doi:10.2143/AST.32.2.1030. MR 1942940. Zbl 1098.91540.
- Willmot, Gordon (1988). "Sundt and Jewell's family of discrete distributions" (PDF). ASTIN Bulletin. 18 (1): 17–29. doi:10.2143/AST.18.1.2014957.
- Gerber, Hans U. (1992). "From the generalized gamma to the generalized negative binomial distribution". Insurance: Mathematics and Economics. 10 (4): 303–309. doi:10.1016/0167-6687(92)90061-F. ISSN 0167-6687. MR 1172687. Zbl 0743.62014.