Title: Some moment-indeterminate distributions from actuarial science
Authors: Christian Kleiber - Universitaet Basel (Switzerland) [presenting]
Abstract: The moment problem asks whether or not a given distribution is uniquely determined by its moments. The existence of moment-indeterminate distributions has been known since the work of Stieltjes in the late 19th century; the most widely known example appears to be the lognormal distribution. Recent research has shown that the phenomenon is more widespread than previously thought. Specifically, distributions that are not determined by their moments arise in the modelling of size distributions in economics and related fields. We study determinacy issues for certain claim size (aka claim severity) distributions occurring in non-life insurance.