Analysis of a multivariate claim process

DOI10.1007/S11009-014-9420-9zbMATH Open1337.60252OpenAlexW2117857811MaRDI QIDQ267900FDOQ267900

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

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• Modelling default contagion using multivariate phase-type distributions
• On the Limitations of Multivariate Phase-Type Families
• The Erlangization method for Markovian fluid flows

Cited In (4)

• CMPH: a multivariate phase-type aggregate loss distribution
• Multivariate risk model of phase type
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• On the analysis of time dependent claims in a class of birth process claim count models

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