Exact distribution of random order statistics and applications in risk management
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Publication:2218862
risk managementphase-type distributionssamples of random sizepower series distributionsPanjer familynon-performing loansBernoulli mixturesrandom order statistics
Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Order statistics; empirical distribution functions (62G30) Credit risk (91G40) Risk models (general) (91B05)
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Cites work
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- ON THE DISTRIBUTIONS OF ORDER STATISTICS FOR A RANDOM SAMPLE SIZE
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