A Review on Phase-type Distributions and their Use in Risk Theory

DOI10.2143/AST.35.1.583170zbMATH Open1123.62013OpenAlexW4253891146MaRDI QIDQ5490583FDOQ5490583

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.35.1.583170

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Cites Work

Nineteen Dubious Ways to Compute the Exponential of a Matrix
Title not available (Why is that?)
Applied Probability and Queues
Simple approximations of ruin probabilities
Erlangian Approximations for Finite-Horizon Ruin Probabilities
Characterization of phase-type distributions
Direct Calculation of the Information Matrix via the EM Algorithm
Matrix‐Exponential Distributions: Calculus and Interpretations via Flows

Cited In (35)

The estimation of adopted mortality and morbidity rates using model and the phase type law: the Turkish case
On the construction of bivariate exponential distributions with an arbitrary correlation coefficient
Survival probabilities for compound binomial risk model with discrete phase-type claims
Microdomain [Ca\(^{2+}\)] fluctuations alter temporal dynamics in models of Ca\(^{2+}\)-dependent signaling cascades and synaptic vesicle release
Evaluating readmission rates and discharge planning by analyzing the length-of-stay of patients
Calculation of ruin probabilities for a dense class of heavy tailed distributions
Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Fitting phase-type scale mixtures to heavy-tailed data and distributions
Title not available (Why is that?)
Application of the phase-type mortality law to life contingencies and risk management
On a discrete risk model with two-sided jumps
On the use of functional calculus for phase-type and related distributions
Discussion of ``Human life is unlimited -- but short by H. Rootzén and D. Zholud
Joint discrete and continuous matrix distribution modeling
Labor migrant networks: growth, saturation, and deflection to new labor markets
Heavy-tailed phase-type distributions: a unified approach
Panjer recursion versus FFT for compound distributions
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
A new class of models for heavy tailed distributions in finance and insurance risk
Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
Gerber-Shiu analysis with a generalized penalty function.
Inhomogeneous phase-type distributions and heavy tails
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Ruin probabilities for Bayesian exchangeable claims processes
Constant proportion portfolio insurance under a regime switching exponential Lévy process
Some results on optimal stopping under phase-type distributed implementation delay
Identifying Markov chain models from time-to-event data: an algebraic approach
Moment generating functions of compound renewal sums with discounted claims
Ergodicity analysis and antithetic integral control of a class of stochastic reaction networks with delays
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Optimal decisions in stochastic graphs with uncorrelated and correlated edge weights
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times
Phase type zero truncated Poisson Lindley distributions and their application in modeling secondary cancer cases
The time of recovery and the maximum severity of ruin in a Sparre Andersen model

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