Analysis of a multivariate claim process

DOI10.1007/S11009-014-9420-9MaRDI QIDQ267900zbMATH OpenOpenAlexFDO

Authors Qi-Ming He, Jiandong Ren

Publication date 12 April 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-014-9420-9

zbMATH Keywords

risk analysiscomputational methodsMarkovian arrival processmatrix-analytic methodsmultivariate claim processmultivariate phase-type distribution

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Special processes (60K99)

Recommendations

• CMPH: a multivariate phase-type aggregate loss distribution
• Multivariate risk model of phase type
• On the distributions of two classes of multiple dependent aggregate claims
• On the distributions of two classes of correlated aggregate claims
• scientific article; zbMATH DE number 6948242

Cites work

• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• A New Class of Multivariate Phase Type Distributions
• A versatile Markovian point process
• Discrete-time risk processes with after-effects and association
• Marked point processes as limits of Markovian arrival streams
• Markov chains with marked transitions
• Modelling default contagion using multivariate phase-type distributions
• Multivariate Phase-Type Distributions
• Multivariate risk model of phase type
• New results on the single server queue with a batch markovian arrival process
• On the Limitations of Multivariate Phase-Type Families
• Queues with marked customers
• Risk processes with interest force in Markovian environment
• Simple approximations of ruin probabilities
• The Erlangization method for Markovian fluid flows
• Transient Markov arrival processes

Cited in

(7)

• Multivariate compounds with equal number of summands
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• CMPH: a multivariate phase-type aggregate loss distribution
• Joint discrete and continuous matrix distribution modeling
• Multivariate risk model of phase type
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• On the analysis of time dependent claims in a class of birth process claim count models

This page was built for publication: Analysis of a multivariate claim process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q267900)