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 2 STATISTICAL DISTRIBUTIONS

Notation

PF = Probability function, p(x)

PDF = Probability density function, /(x)
DF = Distribution function, F(x)
PGF = Probability generating function, G(s)
MGF = Moment generating function, M(t)

Note. Where formulae have been omitted below, this indicates that
(a) there is no simple formula or (b) the function does not have a
finite value or (c) the function equals zero.

2.1 DISCRETE DISTRIBUTIONS

Binomial distribution

Parameters: n, p ( n =positive integer, 0 < p < I with q =1- p)

DF: The distribution function is tabulated in the statistical

tables section.

PGF: G(s) = (q + pst

MGF: M(t) = (q + pe't

Moments: E(X) = np, var(X ) = npq

Coefficient
of skewness: q - P
✓npq

6
 o~rnoul\i
• U '- '

with para distributio

meter n = n is the sa
l. me as the
binomial d
istribution
Poisson d
istributio ·
n
Paramete
r: µ (µ>0)

PF: p(x) = e
-µ X
µ , _x = 0 ,1
x~ ,2 , .. .
DF: The distri
bution fun
ction is tab
tables sec ulated in th
tion. e statistica
l
PGF: G(s) = eµ
(s-l)

MGF: M (t) = eµ(

e' -\)

Moments E ( X ) =µ
: , var(X) =
µ
Coefficie
nt
of skewne l
ss:
yµ
Negative binomial distribution -Ty pe 1
P)
Parameters: k, p (k =po siti ve integer, 0 < p < I with q == I -

PGF: G(s )=( ps Jk

1-q s

MGF: M(t ) = ( pe' )·k

1-q /

Moments: E(X ) = !_, var{X) = kq

p p2

Coefficient
2-p·
of skewness:
Jkq

I
)
Negative binomial distribution - Type 2
' Comp oum
Parameters: k, p ( k > 0, 0 < p < 1 with q = I - p) Intere st

X = r(k + x) k X -
2
PF: p( ) r(x + I)r(k ) p q ' x -O,I, , ...

ELT1
G(s) = ( p Jk I
PGF:
I-qs f'-
AM92

MGF: M(t) =( l-qep Jk 1

•I

' PMA9 2
Moments: E(X) = kq , var(X ) = k~ 'PFA9 2
p p
,.
I

..-- = -

Coefficient
. 2-p
of skewness: lntern a1
Jkq Actuar i
Notatio

Geometric distribution
,I
The geometric distribution is the same as the negative binomial 11
S(M
distribution with parameter k = 1. I

S(ID)

,-

Pensio n
Schem e

I, Time
S('ril'S
 .
Uniform d.15tribution (discrete)

Parameters.. a' b , h ( a < b, h > 0, b - a is a multiple of h)

h
p(x) = = --
PF: -, x = a,a + h,a + 2h, ... ,b -h ,b
b- a+ h

h (sb+h -sa)
PGF: G(s) == b- a+ h sh -1

MGF:
_
M (t) - b
h (/b +h )t -e at J
-a + h e ht - 1

. I · I
Moments: E( X) = (a + b) , var(X) = (b
2 -a )(b -a +2h)
12
2.2 CONTINUOUS DI ST RI BU TI ON
S
Standard normal distribution - N
(0, 1)

Parameters: none

PDF: · . I _lx 2
f (X) = ,-;:;:: e 2 -oo < X < oo
-v2rc '
DF:
The distribution function is tabulated
in the statistical
tables section.

MGF: I 2
M( t) = eI 1

Moments:
E( X) = 0, var(X) = I

E(Xr):::: _! _ f( l + r)
2r/2 (
rl+ -
r), r = 2,4 ,6, ...
2
Normal (Gaussian) distribution - N(µ,cr 2 )

Parameters: µ, cr 2 (a> 0)

)2} ,
1 1 x-µ
PDF:
{ 2(
f (x) = crJf-rr. exp - a -oo < x < oo

MGF:

Moments: E(X) = µ, var(X) = cr 2

Exponential distribution

Parameter: "A.("A>O)

PDF:

DF: F(x) =1- e-AX

MGF: M(l)=(l- ~r, t<A.

Moments: 1 1
E(X)-:- "A, var(X) = "A 2

r ro
+r)
E(X ) = - - , r=l,2,3, ...
"Ar

Coefficient
of skewness: 2
 Galllllla U l~ U u ,u
u v ••

parameters:

f(x)::=-Ao.- x a.-1 -"A.x o

PDF: · e , x>
f(a)

W h e n 2 a is a
DF: n in te g e r, p ro b
d is tr ib u ti o n c a a b il it ie s for ·th
n be found us e gamma
in g th e relation
ship:

2 U ~ X 22a .

MGF:

Moments:
a a
E(X) =A, va
r(X) = i2
. r(a+r)
E(X r ) = - - - , r = l, 2 ,3
r(a)Ar , .. .

Coefficient
o f skewness: 2
✓a

Chi-square dis
tribution - xt
The chi-square d
istribution with
u degrees o f free
the gamm d" dom is the sarne
a lStn·bu ti•o n w . as
it h p a r a m e te r s
a = u a n d A == 1
The distributio
2 2·
. . fu
n n c ti•o n fo r
the statistical ta th e c h i- s q u a r e
bles section. d is tr ib u ti.o n is
· t bu\ated in
a
.
 s)- U(a, b)
Uniform distribution (co nti nu ou

Parameters: a, b( a< b)

I
PDF: f( x) = -- , a< x< b
b- a

F(x) = x- a
DF: b- a

l l b1 1
MGF: M( t) = - - (e -e a )
(b - a) t

1
)2
Moments: E(X)=_!_(a+b), va r(X )=12- (b -a
2

E(-Xr) = 1 1 (br+I - ar+ I) r = l 2 '3' ...

(b -a )r +l ' - '

Beta distribution

Parameters: a, P (a >O , P> O)

x< l
f(x )= f'(a +P ) xcx- (1- x)~ -I O<
1
PDF: rca)rCP) '
p_ _
Moments: E( X) =- a- , va r(X )= --- a_
2
a+ P (a +P ) (a +~ +I )

,3, ...
E( Xr )= f'( a+ P) f'( a+ r), r= l,2
f'(a )f'( a + ~ + r)

Coefficient
Z(l3- o.) ✓o. + 13 +
1
of skewness:
.(a +~ + 2) a~

13
Pareto distribution (three parameter version)

Parameters: ex , A , k ( ex > 0 , A > 0 , k > O)

f(ex + k)A cxxk-l

PDF: f ( x ) = - - - - ' - - - - x>O
f(ex)f(k)(A+x)cx+k'

kA k(k + ex- l)A 2

Moments: E(X)=- (a>l), var(X)=---'-- (ex>2)
a- I (ex - 1) 2 ( ex - 2)

r f(a-r)f(k+r) r
E(X _)= f(a)f(k) A , r=l,2,3, ... , r<ex

Weibull distribution

Parameters: c, y (c>O, y>O)

PDF:

DF: F(x) = 1- e-cxr

Moments: E(Xr)=f(l+~)_!_/ , r=l,2,3, ...

y Cr 'Y

Bur·r distribution

Parameters: a, A, y (a>O, A.>0, y>O)

PDF:

DF: F(x) = 1-( A 'Y

A.+X
)a.
r) ( r)
A.r/y
E(Xr)=f ex-- f 1+- -
Moments:
y ( - , r=l,2,3, ... ,r<exy
y f(ex)

15