On the computer generation of the Gompertz-Makeham distribution

• Autores: Pedro Jodrá Esteban
• Localización: XXXI Congreso Nacional de Estadística e Investigación Operativa ; V Jornadas de Estadística Pública: Murcia, 10-13 de febrero de 2009 : Libro de Actas, 2009, ISBN 978-84-691-8159-1
• Idioma: inglés
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• Resumen

  • We give a closed-form expression in terms of the Lambert W function for the quantile function of the Gompertz-Makeham distribution. This probability distribution was introduced in 1860 by the British actuary William M. Makeham and has often been used to describe human mortality and to establish actuarial tables. The analytical expression provided for the quantile function is helpful to generate random samples drawn from the Gompertz-Makeham distribution by means of the inverse transform method. Our procedure is computationally simpler than the algorithms proposed by Hodemakers et al.

    (2005), Pai (1997) and Scollnik (1995), taking into account that the Lambert W function is implemented eciently in the most widespread symbolic computation packages.