Recursions for multivariate compound phase variables

DOI10.1016/J.INSMATHECO.2006.12.006zbMath1141.91503OpenAlexW3125357517MaRDI QIDQ939328

Karl-Theodor Eisele

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.12.006

zbMATH Keywords

discrete multivariate phase variablesrecursions for multivariate compound variables

Mathematics Subject Classification ID

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Cites Work

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• Computational methods in risk theory: a matrix-algorithmic approach
• Multivariate risk model of phase type
• Recursions for compound phase distributions
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• Multivariate Phase-Type Distributions
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• The Time Value of Ruin in a Sparre Andersen Model

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