Inhomogeneous phase-type distributions and heavy tails

DOI10.1017/jpr.2019.60zbMath1428.62103arXiv1812.04139OpenAlexW2994871896WikidataQ126568092 ScholiaQ126568092MaRDI QIDQ5205942

Mogens Bladt, Hansjoerg Albrecher

Publication date: 17 December 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.04139

zbMATH Keywords

heavy tailproduct integralinhomogeneous phase-typematrix Pareto distributionmatrix Weibull distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Probability distributions: general theory (60E05) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (15)

Heavy-tailed phase-type distributions: a unified approach ⋮ Multivariate fractional phase-type distributions ⋮ Continuous scaled phase-type distributions ⋮ PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ Matrix Mittag-Leffler distributions and modeling heavy-tailed risks ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Estimating absorption time distributions of general Markov jump processes ⋮ Phase-type mixture-of-experts regression for loss severities ⋮ Joint lifetime modeling with matrix distributions ⋮ A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling ⋮ Explicit results on conditional distributions of generalized exponential mixtures ⋮ Mortality modeling and regression with matrix distributions ⋮ Penalised likelihood methods for phase-type dimension selection ⋮ Graph-based algorithms for phase-type distributions

Uses Software

• DLMF
• EMpht

Cites Work

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