Exact distribution of random order statistics and applications in risk management
DOI10.1007/S11009-018-9662-ZzbMATH Open1457.62065OpenAlexW2888813345MaRDI QIDQ2218862FDOQ2218862
Authors: Vasileios M. Koutras, Markos V. Koutras 
Publication date: 18 January 2021
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-018-9662-z
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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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Cited In (3)
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