CMPH: a multivariate phase-type aggregate loss distribution (Q1648668)

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CMPH: a multivariate phase-type aggregate loss distribution
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    Statements

    title
    CMPH: a multivariate phase-type aggregate loss distribution (English)
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    author
    Jiandong Ren
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    Ričardas Zitikis
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    publication date
    27 June 2018
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    zbMATH Keywords
    multivariate distribution
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    compound distribution
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    Markov chain
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    risk measure
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    risk allocation
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62H05
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    62P05
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    zbMATH DE Number
    6895340
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