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

DOI10.2143/AST.35.1.583170MaRDI QIDQ5490583zbMATH OpenOpenAlexFDO

Authors Mogens Bladt

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

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inference from stochastic processes (62M99) Characterization and structure theory of statistical distributions (62E10)

Recommendations

• Phase-type distributions and risk processes with state-dependent premiums
• A joint density function in phase-type (2) risk models
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On the accuracy of phase-type approximations of heavy-tailed risk models
• Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• scientific article; zbMATH DE number 6263078
• Ruin Problems for Phase-Type(2) Risk Processes

Cites work

• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• Applied Probability and Queues
• Characterization of phase-type distributions
• Direct Calculation of the Information Matrix via the EM Algorithm
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Simple approximations of ruin probabilities

Cited in

(35)

• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• On the construction of bivariate exponential distributions with an arbitrary correlation coefficient
• The estimation of adopted mortality and morbidity rates using model and the phase type law: the Turkish case
• 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
• scientific article; zbMATH DE number 2121167 (Why is no real title available?)
• Application of the phase-type mortality law to life contingencies and risk management
• On a discrete risk model with two-sided jumps
• Discussion of ``Human life is unlimited -- but short by H. Rootzén and D. Zholud
• On the use of functional calculus for phase-type and related distributions
• Labor migrant networks: growth, saturation, and deflection to new labor markets
• Joint discrete and continuous matrix distribution modeling
• Heavy-tailed phase-type distributions: a unified approach
• Panjer recursion versus FFT for compound distributions
• A new class of models for heavy tailed distributions in finance and insurance risk
• A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
• Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
• Inhomogeneous phase-type distributions and heavy tails
• Gerber-Shiu analysis with a generalized penalty function.
• 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
• Phase type zero truncated Poisson Lindley distributions and their application in modeling secondary cancer cases
• Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times

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