Conditional tail expectations for multivariate phase-type distributions (Q3367750)

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Conditional tail expectations for multivariate phase-type distributions
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    Conditional tail expectations for multivariate phase-type distributions (English)
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    26 January 2006
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    order statistics
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    univariate phase-type distribution
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    multivariate phase-type distribution
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    continuous-time Markov chain
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    convolution
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    extreme value
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    Marshall-Olkin distribution
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    conditional tail expectation
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    excess loss
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    residual lifetime
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