Analysis of a multivariate claim process

DOI10.1007/S11009-014-9420-9zbMath1337.60252OpenAlexW2117857811MaRDI QIDQ267900

Jiandong Ren, Qi-Ming He

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9420-9

zbMATH Keywords

risk analysiscomputational methodsMarkovian arrival processmatrix-analytic methodsmultivariate claim processmultivariate phase-type distribution

Mathematics Subject Classification ID

Special processes (60K99) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

CMPH: a multivariate phase-type aggregate loss distribution ⋮ Robust claim frequency modeling through phase-type mixture-of-experts regression

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