Conditional tail expectations for multivariate phase-type distributions

DOI10.1239/JAP/1127322029zbMath1079.62022OpenAlexW2104953984MaRDI QIDQ3367750

Publication date: 26 January 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1127322029

zbMATH Keywords

order statistics convolution residual lifetime continuous-time Markov chain multivariate phase-type distribution Marshall-Olkin distribution extreme value conditional tail expectation excess loss univariate phase-type distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Reliability and life testing (62N05)

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