CMPH: a multivariate phase-type aggregate loss distribution

DOI10.1515/demo-2017-0018zbMath1393.91101OpenAlexW2784063821MaRDI QIDQ1648668

Ričardas Zitikis, Jiandong Ren

Publication date: 27 June 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0018

zbMATH Keywords

Markov chainrisk measurecompound distributionmultivariate distributionrisk allocation

Mathematics Subject Classification ID

Related Items (2)

Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Robust claim frequency modeling through phase-type mixture-of-experts regression

Uses Software

• QRM

Cites Work

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