Matrix-Exponential Distributions in Applied Probability

From MaRDI portal
Publication:2978900

DOI10.1007/978-1-4939-7049-0zbMath1375.60002OpenAlexW2616761010MaRDI QIDQ2978900

Bo Friis Nielsen, Mogens Bladt

Publication date: 2 May 2017

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-7049-0




Related Items

A Markov jump process associated with the matrix-exponential distributionOptimal design of variable acceptance sampling plans for mixture distributionA procedure for deriving new ODE models: Using the generalized linear chain trick to incorporate phase-type distributed delay and dwell time assumptionsA solvable class of renewal processesQueues with Markovian arrivals, phase type services, breakdowns, and repairsRAP-modulated fluid processes: first passages and the stationary distributionA NEW SHOCK MODEL WITH A CHANGE IN SHOCK SIZE DISTRIBUTIONInhomogeneous phase-type distributions and heavy tailsMoments and polynomial expansions in discrete matrix-analytic modelsFrom PH/MAP to ME/RAPThe Wei-Norman method for the infinite-server queue with phase-type arrivalsCharacterisation of multivariate phase type distributionsAnalysis of IBNR liabilities with interevent times depending on claim countsBivariate Sarmanov phase-type distributions for joint lifetimes modelingCMPH: a multivariate phase-type aggregate loss distributionRate of strong convergence to Markov-modulated Brownian motionHeavy-tailed phase-type distributions: a unified approachParisian types of ruin probabilities for a class of dependent risk-reserve processesGram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy modelsMultivariate matrix-exponential affine mixtures and their applications in risk theoryMultivariate fractional phase-type distributionsAssessment of shock models for a particular class of intershock time distributionsContinuous scaled phase-type distributionsOn mixed censored \(\delta \)-shock modelsA new mixed \(\delta \)-shock model with a change in shock distributionPHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELINGComputing waiting time probabilities related to \((k_1, k_2, \dots, k_l)\) patternFractional inhomogeneous multi-state models in life insuranceA boosting first-hitting-time model for survival analysis in high-dimensional settingsOn a Dirichlet process mixture representation of phase-type distributionsA series expansion formula of the scale matrix with applications in CUSUM analysisMoments of the ruin time in a Lévy risk modelReliability assessment for censored \(\delta\)-shock modelsAn explicit solution to the Skorokhod embedding problem for double exponential incrementsRisk aggregation with FGM copulasMatrix Mittag-Leffler distributions and modeling heavy-tailed risksJoint discrete and continuous matrix distribution modelingAggregate Markov models in life insurance: properties and valuationDistributions of random variables involved in discrete censored δ-shock modelsPhase-type representations of stochastic interest rates with applications to life insuranceMatrix representations of life insurance paymentsPhase-type mixture-of-experts regression for loss severitiesJoint lifetime modeling with matrix distributionsSpace Reduction for a Class of Multidimensional Markov Chains: A Summary and Some ApplicationsA Tractable Class of Multivariate Phase-Type Distributions for Loss ModelingExponential probability distribution on symmetric matricesExplicit results on conditional distributions of generalized exponential mixturesCompound Dirichlet ProcessesA factorization of a Lévy process over a phase-type horizonComputing minimal signature of coherent systems through matrix-geometric distributionsFluctuation theory for one-sided Lévy processes with a matrix-exponential time horizonMortality modeling and regression with matrix distributionsPhase-type distributions in population geneticsFitting phase-type scale mixtures to heavy-tailed data and distributionsDiscussion of ``Human life is unlimited -- but short by H. Rootzén and D. ZholudOn corrected phase-type approximations of the time value of ruin with heavy tailsMultivariate matrix Mittag-Leffler distributionsUncertainty Quantification for Markov Processes via Variational Principles and Functional InequalitiesLong time behaviour of continuous-state nonlinear branching processes with catastrophesOn scale functions for Lévy processes with negative phase-type jumpsMultivariate phase-type theory for the site frequency spectrumNotes on Markov embeddingEfficient simulation of ruin probabilities when claims are mixtures of heavy and light tailsAnalysis of a queueing model with batch Markovian arrival process and general distribution for group clearanceConcomitants of order statistics from bivariate phase-type distributions with continuous density functionsQuantification of model uncertainty on path-spaceviagoal-oriented relative entropyPenalised likelihood methods for phase-type dimension selectionSteady-State and Transient Analysis of a Single Channel Cognitive Radio Model with Impatience and BalkingBuilding mean field ODE models using the generalized linear chain trick & Markov chain theoryGraph-based algorithms for phase-type distributions