Multivariate Phase-Type Distributions

DOI10.1287/OPRE.32.3.688MaRDI QIDQ3223657zbMATH OpenOpenAlexFDO

Authors David Assaf, Naftali A. Langberg, Thomas H. Savits, Moshe Shaked

Publication date 1984

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.32.3.688

zbMATH Keywords

multivariate phase type distributionsphase typetime until absorption in a finite state absorbing Markov chain

Mathematics Subject Classification ID

Distribution theory (60E99) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Statistical distribution theory (62E99) Reliability and life testing (62N05)

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Cited in

(52)

• The throughput rate of interchangeable parallel two-stage tandem queue with correlated service times
• Association of multivariate phase-type distributions, with applications to shock models.
• CMPH: a multivariate phase-type aggregate loss distribution
• Symmetric PH and EP distributions and their applications to the probability Hough transform
• Multivariate matrix Mittag-Leffler distributions
• Characterisation of multivariate phase type distributions
• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
• Heavy-tailed phase-type distributions: a unified approach
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• The infinite extendibility problem for exchangeable real-valued random vectors
• Convolutions of multivariate phase-type distributions
• Matched queueing systems with a double input
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Extreme behavior of multivariate phase-type distributions
• Multivariate mixtures of Erlangs for density estimation under censoring
• Multivariate risk model of phase type
• Unfinished work for the queue under \(D\)-policy with incomplete information on service times
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• Multivariate fractional phase-type distributions
• Analysis of a multivariate claim process
• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
• A semi-explicit density function for Kulkarni's bivariate phase-type distribution
• Fitting bivariate losses with phase-type distributions
• Efficient generation of PH-distributed random variates
• On some properties of bivariate exponential distributions
• Continuous-time Markov chain bivariate Log-PH type distribution
• Credit risk valuation with rating transitions and partial information
• Queues and Risk Processes with Dependencies
• Conditional tail expectations for multivariate phase-type distributions
• Parameter estimation of discrete multivariate phase-type distributions
• scientific article; zbMATH DE number 4140918 (Why is no real title available?)
• Multivariate matrix-exponential distributions
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• The least variable phase type distribution is erlang
• A New Class of Multivariate Phase Type Distributions
• Sparse representations of phase-type distributions
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On some properties of a class of multivariate Erlang mixtures with insurance applications
• Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
• Joint densities of hitting times for finite state Markov processes
• scientific article; zbMATH DE number 846103 (Why is no real title available?)
• scientific article; zbMATH DE number 6305918 (Why is no real title available?)
• Multivariate finite-support phase-type distributions
• A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
• Modelling default contagion using multivariate phase-type distributions
• On the Limitations of Multivariate Phase-Type Families
• Ruin problems for risk processes with dependent phase-type claims
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• Modeling discrete common-shock risks through matrix distributions
• Transient flows in queueing systems via closure approximations
• Recursions for multivariate compound phase variables

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