Extreme behavior of multivariate phase-type distributions

DOI10.1016/j.insmatheco.2006.10.016zbMath1125.60047OpenAlexW3122310405MaRDI QIDQ2384448

Alexandru V. Asimit, Bruce L. Jones

Publication date: 21 September 2007

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13144/1/Asimit_Jones_2006_revised.pdf

zbMATH Keywords

copulamultivariate extreme value distributionPickands' representationMarshall-Olkin exponential distributioncomponentwise maxima (minima)

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

Related Items (1)

Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path

Cites Work

• Phase-type representations in random walk and queueing problems
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• Multivariate risk model of phase type
• Sur la distribution limite du terme maximum d'une série aléatoire
• On the dependence structure and bounds of correlated parallel queues and their applications to synchronized stochastic systems
• Multivariate Phase-Type Distributions
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• Matrix Analysis
• Max-infinite divisibility
• Limit theory for multivariate sample extremes
• Extreme values of phase-type and mixed random variables with parallel-processing examples
• The Many Proofs and Applications of Perron's Theorem
• Statistics of Extremes
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• A Multivariate Exponential Distribution
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