The estimation of phase-type related functionals using Markov chain Monte Carlo methods

DOI10.1080/03461230110106435zbMATH Open1090.62102OpenAlexW2049117165WikidataQ57394024 ScholiaQ57394024MaRDI QIDQ5467677FDOQ5467677

Authors: Mogens Bladt, Antonio González, Steffen Lauritzen 

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106435

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zbMATH Keywords

Markov chain Monte CarloBayesian analysisphase-type distributionruin probability

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Poisson's equation for queues driven by a Markovian marked point process
• The variance constant for the actual waiting time of the PH/PH/1 queue

Cited In (17)

• Bayesian estimation of finite time ruin probabilities
• Markov Bridges, Bisection and Variance Reduction
• Aggregate Markov models in life insurance: estimation via the EM algorithm
• Russian and American put options under exponential phase-type Lévy models.
• Phase-type models for competing risks, with emphasis on identifiability issues
• Joint discrete and continuous matrix distribution modeling
• Heavy-tailed phase-type distributions: a unified approach
• Improvement of expectation–maximization algorithm for phase‐type distributions with grouped and truncated data
• Phase-type stress-strength reliability models under progressive type-II right censoring
• Mortality modeling and regression with matrix distributions
• Variational Bayes for phase-type distribution
• Phase-type aging modeling for health dependent costs
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• On semiparametric estimation of ruin probabilities in the classical risk model
• A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean
• Parametric survival densities from phase-type models
• On a Dirichlet process mixture representation of phase-type distributions

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