Higher order moments of a sum of random variables: remarks and applications.

Luisa Tibiletti, Ernesto Volpe


The moments of a sum of random variables depend on both the pure moments of each random addendum and on the addendum mixed moments. In this note we introduce a simple measure to evaluate the relative impedance to attach to the latter. Once the pure moments are fixed, the functional relation between the random addenda leading to the extreme values is also provided. Applications to Finance, Decision Theory and Actuarial Sciences are also suggested.


Higher Order Moments; Cauchy-Schwarz Inequality; Pearson Correlation Coefficient.

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