Analysis of a multivariate claim process

DOI10.1007/s11009-014-9420-9zbMath1337.60252MaRDI QIDQ267900

Qi-Ming He, Jiandong Ren

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 analysis; computational methods; Markovian arrival process; matrix-analytic methods; multivariate claim process; multivariate phase-type distribution

Mathematics Subject Classification ID

60K99: Special processes

65C99: Probabilistic methods, stochastic differential equations

Related Items

CMPH: a multivariate phase-type aggregate loss distribution

Cites Work

• Unnamed Item
• Modelling default contagion using multivariate phase-type distributions
• The Erlangization method for Markovian fluid flows
• Transient Markov arrival processes
• Simple approximations of ruin probabilities
• Markov chains with marked transitions
• Multivariate risk model of phase type
• Multivariate Phase-Type Distributions
• New results on the single server queue with a batch markovian arrival process
• Discrete-Time Risk Processes with After-Effects and Association
• Risk Processes with Interest Force in Markovian Environment
• A New Class of Multivariate Phase Type Distributions
• A versatile Markovian point process
• Queues with marked customers
• Marked point processes as limits of Markovian arrival streams
• On the Limitations of Multivariate Phase-Type Families