Recursions for compound phase distributions

DOI10.1016/J.INSMATHECO.2005.08.002MaRDI QIDQ2507946zbMATH OpenOpenAlexFDO

Authors Karl-Theodor Eisele

Publication date 5 October 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.08.002

zbMATH Keywords

phase-type distributionsrecursions for compound variables

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Recursive formulas for compound phase distributions -- univariate and bivariate cases
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Cites work

• An Extension of Panjer's Recursion
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• Recursive evaluation of aggregate claims distributions.
• Some recursions for moments of compound distributions.
• Speedy convolution algorithms and Panjer recursions for phase-type distributions

Cited in

(31)

• Panjer recursion versus FFT for compound distributions
• Reliability assessment of a discrete time cold standby repairable system
• Graph-based algorithms for phase-type distributions
• A family of induced distributions
• Exact distribution of random order statistics and applications in risk management
• Revisiting discrete time age replacement policy for phase-type lifetime distributions
• On bivariate compound sums
• Phase-type aging modeling for health dependent costs
• Compound geometric distribution of order \(k\)
• On the characteristic function for asymmetric Student \(t\) distributions
• Amplitude recursions with an extra marked point
• Reliability assessment for censored \(\delta\)-shock models
• A new class of lifetime distributions
• Recursive formulas for compound phase distributions -- univariate and bivariate cases
• Recursive Distributions of Poles and Zeros for Linear Phase Variations
• A simple compound scan statistic useful for modeling insurance and risk management problems
• Matrix-Form Recursions for a Family of Compound Distributions
• A discrete time inventory system with postponed demands
• A new class of bivariate lifetime distributions
• A stochastic inventory system with postponed demands and infinite pool in discrete-time setup
• On compound sums under dependence
• On the characteristic function for asymmetric exponential power distributions
• Patterson function and δ recycling: derivation of the phasing equations
• On mixed censored -shock models
• Consecutive dual failure mode shock systems
• Control charts with random interarrival times between successive samplings
• Reliability assessment for discrete time shock models via phase-type distributions
• Modeling discrete common-shock risks through matrix distributions
• A generalized censored -shock model for multi-state systems
• Recursions for multivariate compound phase variables
• Error bounds in approximations of random sums using gamma-type operators

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