Paper Info
Title
On a discrete multi-variate phase-type distribution and its applications (abstract only)
Abstract
In the second part of this paper, we use the discrete MPH-distributions to model multi-variate insurance claim processes in risk analysis, where claims may arrive in batches, the arrivals of different types of batches may be correlated, and the amounts of different types of claims in a batch may be dependent. This provides one natural approach to model the dependencies among claim frequencies as well claim sizes of different types of risks, which is a very important topic in insurance risk theory. Under certain conditions, it is shown that the total amounts of claims accumulated in some random time horizon are discrete MPH random vectors. Matrixrepresentations of the discrete MPH-distributions are constructed explicitly. Efficient computational methods are developed for computing performance measures of the total claims of different types of claim batches and individual types of claims.
Year
DOI
Venue
2012
10.1145/2185395.2185411
SIGMETRICS Performance Evaluation Review
Keywords
Field
DocType
multi-variate insurance claim process,discrete mph-distributions,total claim,discrete mph random vector,random time horizon,claim frequency,discrete multi-variate phase-type distribution,claim batch,insurance risk theory,different type,risk analysis,phase type distribution,risk theory
Econometrics,Random variate,Time horizon,Computer science,Risk analysis (business),Phase-type distribution,Natural approach,Risk theory
Journal
Volume
Issue
Citations 
39
4
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
Qi-Ming He123034.21
Jiandong Ren241.56