Conditional tail expectations for multivariate phase-type distributions

DOI10.1239/jap/1127322029zbMath1079.62022OpenAlexW2104953984MaRDI QIDQ3367750

Haijun Li, Jun Cai

Publication date: 26 January 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1127322029

zbMATH Keywords

order statisticsconvolutionresidual lifetimecontinuous-time Markov chainmultivariate phase-type distributionMarshall-Olkin distributionextreme valueconditional tail expectationexcess lossunivariate phase-type distribution

Mathematics Subject Classification ID

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• Applied Probability and Queues
• A Multivariate Exponential Distribution
• Tail Conditional Expectations for Elliptical Distributions

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