Recursive formulas for compound phase distributions -- univariate and bivariate cases

DOI10.2143/AST.40.2.2061130MaRDI QIDQ3071111zbMATH OpenOpenAlexFDO

Authors Jiandong Ren

Publication date 1 February 2011

Full work available at URL https://ideas.repec.org/a/cup/astinb/v40y2010i02p615-629_00.html

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(9)

• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Patterson function and δ recycling: derivation of the phasing equations
• On bivariate compound sums
• CMPH: a multivariate phase-type aggregate loss distribution
• Parameter estimation of discrete multivariate phase-type distributions
• Recursions for compound phase distributions
• On recursive formulas for aggregate claims
• Recursions for multivariate compound phase variables
• Recursive Distributions of Poles and Zeros for Linear Phase Variations

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