Matrix-Exponential Distributions in Applied Probability

DOI10.1007/978-1-4939-7049-0MaRDI QIDQ2978900zbMATH OpenOpenAlexFDO

Authors Mogens Bladt, Bo Friis Nielsen

Publication date 2 May 2017

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-7049-0

zbMATH Keywords

matrix-exponential distributionsmatrix-geometric distributionsphase-type distributions

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Renewal theory (60K05) Queueing theory (aspects of probability theory) (60K25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

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• CMPH: a multivariate phase-type aggregate loss distribution
• Exponential probability distribution on symmetric matrices
• Discussion of ``Human life is unlimited -- but short by H. Rootzén and D. Zholud
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• Multivariate matrix Mittag-Leffler distributions
• Long time behaviour of continuous-state nonlinear branching processes with catastrophes
• On scale functions for Lévy processes with negative phase-type jumps
• Multivariate phase-type theory for the site frequency spectrum
• Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
• Analysis of a queueing model with batch Markovian arrival process and general distribution for group clearance
• Matrix-variate Lindley distributions and its applications
• Penalised likelihood methods for phase-type dimension selection
• Graph-based algorithms for phase-type distributions
• RAP-modulated fluid processes: first passages and the stationary distribution
• Moments and polynomial expansions in discrete matrix-analytic models
• From PH/MAP to ME/RAP
• The Wei-Norman method for the infinite-server queue with phase-type arrivals
• Characterisation of multivariate phase type distributions
• Analysis of IBNR liabilities with interevent times depending on claim counts
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Heavy-tailed phase-type distributions: a unified approach
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• An explicit solution to the Skorokhod embedding problem for double exponential increments
• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
• Matrix representations of life insurance payments
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• On corrected phase-type approximations of the time value of ruin with heavy tails
• Notes on Markov embedding
• Multivariate fractional phase-type distributions
• Exponential and related probability distributions on symmetric matrices
• Assessment of shock models for a particular class of intershock time distributions
• Moments of the ruin time in a Lévy risk model
• Reliability assessment for censored \(\delta\)-shock models
• An operational calculus for matrix-exponential distributions, with applications to a Brownian (q,Q) inventory model
• On the use of functional calculus for phase-type and related distributions
• Fundamentals of matrix-analytic methods
• Compound Dirichlet processes
• On matrix exponential distributions
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• Characterization of Matrix-Exponential Distributions
• An alternative characterization for matrix exponential distributions
• Matrix-Form Recursions for a Family of Compound Distributions
• scientific article; zbMATH DE number 1250155 (Why is no real title available?)
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• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• A factorization of a Lévy process over a phase-type horizon
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• Concomitants of order statistics from bivariate phase-type distributions with continuous density functions
• Quantification of model uncertainty on path-space via goal-oriented relative entropy
• Steady-State and Transient Analysis of a Single Channel Cognitive Radio Model with Impatience and Balking
• The exponential-dual matrix method: Applications to Markov chain analysis
• Optimal design of variable acceptance sampling plans for mixture distribution
• A procedure for deriving new ODE models: using the generalized linear chain trick to incorporate phase-type distributed delay and dwell time assumptions
• A NEW SHOCK MODEL WITH A CHANGE IN SHOCK SIZE DISTRIBUTION
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• Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• Fractional inhomogeneous multi-state models in life insurance
• Space Reduction for a Class of Multidimensional Markov Chains: A Summary and Some Applications
• Explicit results on conditional distributions of generalized exponential mixtures
• Computing minimal signature of coherent systems through matrix-geometric distributions
• Inhomogeneous phase-type distributions and heavy tails
• scientific article; zbMATH DE number 967329 (Why is no real title available?)
• Building mean field ODE models using the generalized linear chain trick \& Markov chain theory
• Phase-type distributions for claim severity regression modeling
• A Markov jump process associated with the matrix-exponential distribution
• Mortality modeling and regression with matrix distributions
• Continuous scaled phase-type distributions
• On mixed censored -shock models
• A new mixed -shock model with a change in shock distribution
• Computing waiting time probabilities related to \((k_1, k_2, \dots, k_l)\) pattern
• A boosting first-hitting-time model for survival analysis in high-dimensional settings
• On a Dirichlet process mixture representation of phase-type distributions
• A series expansion formula of the scale matrix with applications in CUSUM analysis
• Phase-type mixture-of-experts regression for loss severities
• Joint lifetime modeling with matrix distributions
• Risk aggregation with FGM copulas
• Joint discrete and continuous matrix distribution modeling
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• Aggregate Markov models in life insurance: properties and valuation
• Distributions of random variables involved in discrete censored δ-shock models
• Phase-type representations of stochastic interest rates with applications to life insurance
• On the compound Poisson phase-type process and its application in shock models
• On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
• The Markov discrete time -shock reliability model and a waiting time problem
• Performance analysis of work stealing strategies in large-scale multithreaded computing
• A queueing model with \textit{BMAP} arrivals and heterogeneous phase type group services
• The evaluation of system reliability under dependent shock magnitudes
• On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
• Optimal periodic strategies with dividends payable from gains only
• The TMRCA of general genealogies in populations with deterministically varying size
• Modeling discrete common-shock risks through matrix distributions
• Empirical risk analysis of mining a proof-of-work blockchain
• Matrix representations of Wiener-Hopf factorisations for Lévy processes
• Reliability and optimal age replacement policy of a system subject to shocks following a Markovian arrival process
• Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
• A generalized censored -shock model for multi-state systems
• Properties related with conditional expectation for a non-homogeneous Poisson process
• Phase-type representations for exponential distributions
• A new admission control scheme in queueing-inventory system with two priority classes of demands

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