Extreme behavior of multivariate phase-type distributions

DOI10.1016/J.INSMATHECO.2006.10.016MaRDI QIDQ2384448zbMATH OpenOpenAlexFDO

Authors Alexandru V. Asimit, Bruce L. Jones

Publication date 21 September 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://openaccess.city.ac.uk/id/eprint/13144/1/Asimit_Jones_2006_revised.pdf

zbMATH Keywords

componentwise maxima (minima)copulaMarshall-Olkin exponential distributionmultivariate extreme value distributionPickands' representation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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• scientific article; zbMATH DE number 1581767 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Limit theory for multivariate sample extremes
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• On the dependence structure and bounds of correlated parallel queues and their applications to synchronized stochastic systems
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• Phase-type representations in random walk and queueing problems
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• The Many Proofs and Applications of Perron's Theorem

Cited in

(7)

• Multivariate matrix Mittag-Leffler distributions
• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
• Multivariate fractional phase-type distributions
• A New Class of Multivariate Phase Type Distributions
• Extreme values of phase-type and mixed random variables with parallel-processing examples
• Multivariate finite-support phase-type distributions
• On the Limitations of Multivariate Phase-Type Families

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