The Actuarial Education Company

Exponential family summary

q ( ) b q f ( ) a f ( , ) c y f
Poisson
lnm
e
q

1 1
ln !
i
y -
Exponential
1
m
- ln( ) q - -
1 1 0
Gamma
1
m
- ln( ) q - - a
1
f

ln ln ( )
( 1)lny
f f f
f
- G
+ -

Normal
m
2 1
2
q
2
s
f
2
1
2 2
1
2
ln
ln2
y
f
f
p
- -
-

Binomial
( )
1
ln
m
m -

ln(1 ) e
q
+
n
1
f

ln
y
f
f





Note: For binomial, define
i i
Y Z n = where ~ ( , )
i i
Z Bin n m

The Actuarial Education Company
Poisson distribution

~ ( ) Y Poi m

{ }
{ }
ln
1
( )
!
exp ln ln !
exp ln !
y
y
e
f y
y
y y
y
m
m m
m
m m
-
-
=
= - -
= -



ln , ( )
1, ( ) 1
( ) ln !
i i
i i
b e
a
c y y
q
q m q m
j j
= = =
= =
= -



Hence:

( ) ( ) E Y b e
q
q m = = =

var( ) ( ) ( ) 1 Y a b e e
q q
f q m = = = =

( ) ( ) V b e
q
m q m = = =

The Actuarial Education Company
Exponential distribution

~ ( ) Y Exp l


{ }
1
1
1 1
1
ln
1
( )
since
exp ln
exp 0
y
y
y
f y e
e
y
m
m
l
m l
m
m
l
m
m
-
-
- -
=
= =
= - -

= +






1
, ( ) ln ln( )
1, ( ) 1
( ) 0
i
i
b
a
c y
m
q q m q
j j
= - = = - -
= =
=


Hence:


1 1
( ) ( ) E Y b
q l
q m = = - = =


2 2 2
2 1 1 1
var( ) ( ) ( ) 1 Y a b
q q l
f q m = = = = =


2
2 1
( ) ( ) V b
q
m q m = = =

The Actuarial Education Company
Gamma distribution

~ ( , ) Y Gamma a l


( )
{ }
( ) { }
1 1
( ) ( )
ln
1
( ) since
exp ln ln ln ( ) ( 1)ln
exp ln ln ln ( ) ( 1)ln
exp ln ln ( ) ( 1)ln
i
y
y
y
y
y
f y y e y e
y
y
y
a
a
a
a
m
m
m
a l a l a
a a l
a
m
m
m
a
m
a a a m a a
a m a a a a
a a a a
-
- - -
G G
- -
= = =
= - - G + - -
= - - + - G + -


= + - G + -






1 1 1
, ( ) ln ln( ) , ( )
( , ) ln ln ( ) ( 1)ln
b a
c y y
m a f
q q m q f a f
f f f f f
= - = = - - = = =
= - G + -


Hence:


1
( ) ( ) E Y b
a
q l
q m = = - = =


2
2 2 2
1 1 1
var( ) ( ) ( ) Y a b
m
a
f a
q fq l
f q = = = = =


2
2 1
( ) ( ) V b
q
m q m = = =

The Actuarial Education Company
Normal distribution

2
~ ( , ) Y N m s


{ }
{ }
2
2
2 2
2
2 1
2
2
2 2
( )
1 1
2
2
2 2
1 1
2 2
2
2
1 1
2 2
2
( ) exp
exp ln ln2
exp ln ln2
y
y y
y
y
f y
m
s p s
m m
s
m m
s s
s p
s p
-
- + -
-
= -
= - -


= + - - -






2
2 2
1 1
2 2
2 2
1 1
2 2 2
, ( ) ,
, ( )
( , ) ln ln2
y
b
a
c y
f
q m q m q
f s f s f
f f p
= = =
= = =

= - - -



Hence:

( ) ( ) E Y b q q m = = =


2
var( ) ( ) ( ) 1 Y a b f q f s = = =

( ) ( ) 1 V b m q = =

The Actuarial Education Company
Binomial distribution

Z
Y
n
= where ~ ( , ) Z Bin n m

( ) (1 ) ( ) (1 ) since y
z n z ny n ny z
n
n n
f z f y z ny
z ny
m m m m
- -

= - = - = =



( ) ( )
( )
1
1
ln ln(1 )
1
( ) exp ln ln ln(1 ) ln(1 )
exp ln ln(1 ) ln
exp ln
y
n
n
f y ny n ny
ny
n
n y
ny
n
ny
m
m
m
m
m
m m m
m
-
-
+ -


= + + - - -






= + - +







= +







( )
1 1
1
ln , ( ) ln(1 ) ln(1 ) , ( ) , ( , ) ln
n
b e n a c y
y
m
q
m f
f
q q m f f f
f
-

= = - - = + = = = =



Hence:


1
( ) ( )
e
e
E Y b
q
q
q m
+
= = =


2
(1 )
1
(1 )
var( ) ( ) ( )
e
n
e
Y a b
q
q
m m
f
f q
-
+
= = =


2
(1 )
( ) ( ) (1 )
e
e
V b
q
q
m q m m
+
= = = -