Convolutions of multivariate phase-type distributions

DOI10.1016/J.INSMATHECO.2011.01.004MaRDI QIDQ2276244zbMATH OpenOpenAlexFDO

Authors Jasmin Berdel, Christian Hipp

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.01.004

zbMATH Keywords

convolutiondependence modelsphase-type distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Distribution theory (60E99)

Recommendations

• On the Limitations of Multivariate Phase-Type Families
• Multivariate Phase-Type Distributions
• A New Class of Multivariate Phase Type Distributions
• Association of multivariate phase-type distributions, with applications to shock models.
• Multivariate finite-support phase-type distributions

Cites work

• A New Class of Multivariate Phase Type Distributions
• Multivariate Phase-Type Distributions
• Multivariate matrix-exponential distributions
• Multivariate risk model of phase type
• On the Limitations of Multivariate Phase-Type Families
• On the construction of bivariate exponential distributions with an arbitrary correlation coefficient

Cited in

(7)

• On the Limitations of Multivariate Phase-Type Families
• Association of multivariate phase-type distributions, with applications to shock models.
• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
• Multivariate finite-support phase-type distributions
• Multivariate Phase-Type Distributions
• A New Class of Multivariate Phase Type Distributions
• Convolutions of the Pearson type VII distribution

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