Extreme behavior of multivariate phase-type distributions-Reference-Cited by-同舟云学术

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Extreme behavior of multivariate phase-type distributions

Published:2007-09 Issue:2 Volume:41 Page:223-233
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Asimit Alexandru V.,Jones Bruce L.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference23 articles.

1. Phase-type representations in random walk and queueing problems;Asmussen;Annals of Probability,1992

2. Multivariate phase-type distributions;Assaf;Operations Research,1984

3. Max-infinite divisibility;Balkema;Journal of Applied Probability,1977

4. Statistics of Extremes: Theory and Applications;Beirlant,2004

5. Multivariate risk model of phase type;Cai;Insurance: Mathematics and Economics,2005

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path;Journal of Multivariate Analysis;2022-09

2. Conditional Joint Probability Distributions of First Exit Times to Overlapping Absorbing Sets of the Mixture of Markov Jump Processes;SSRN Electronic Journal;2018

3. Asymptotic tail behaviour of phase-type scale mixture distributions;Annals of Actuarial Science;2017-08-29

4. Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks;ASTIN Bulletin;2008-05

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