Inhomogeneous phase-type distributions and heavy tails

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Inhomogeneous phase-type distributions and heavy tails. / Albrecher, Hansjoerg; Bladt, Mogens.

I: Journal of Applied Probability, Bind 56, Nr. 4, 2019, s. 1044-1064.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Albrecher, H & Bladt, M 2019, 'Inhomogeneous phase-type distributions and heavy tails', Journal of Applied Probability, bind 56, nr. 4, s. 1044-1064. https://doi.org/10.1017/jpr.2019.60

APA

Albrecher, H., & Bladt, M. (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56(4), 1044-1064. https://doi.org/10.1017/jpr.2019.60

Vancouver

Albrecher H, Bladt M. Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability. 2019;56(4):1044-1064. https://doi.org/10.1017/jpr.2019.60

Author

Albrecher, Hansjoerg ; Bladt, Mogens. / Inhomogeneous phase-type distributions and heavy tails. I: Journal of Applied Probability. 2019 ; Bind 56, Nr. 4. s. 1044-1064.

Bibtex

@article{81f1fad4e9c745cba9fae7276a0b021f,
title = "Inhomogeneous phase-type distributions and heavy tails",
abstract = "We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH distributions to distributions with heavy tails, providing a general modelling framework for heavy-tail phenomena. We also illustrate the versatility and parsimony of the proposed approach in modelling a real-world heavy-tailed fire insurance datase",
keywords = "Inhomogeneous phase-type, heavy tail, product integral, matrix Pareto distribution, matrix Weibull distribution",
author = "Hansjoerg Albrecher and Mogens Bladt",
year = "2019",
doi = "10.1017/jpr.2019.60",
language = "English",
volume = "56",
pages = "1044--1064",
journal = "Journal of Applied Probability",
issn = "0021-9002",
publisher = "Applied Probability Trust",
number = "4",

}

RIS

TY - JOUR

T1 - Inhomogeneous phase-type distributions and heavy tails

AU - Albrecher, Hansjoerg

AU - Bladt, Mogens

PY - 2019

Y1 - 2019

N2 - We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH distributions to distributions with heavy tails, providing a general modelling framework for heavy-tail phenomena. We also illustrate the versatility and parsimony of the proposed approach in modelling a real-world heavy-tailed fire insurance datase

AB - We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH distributions to distributions with heavy tails, providing a general modelling framework for heavy-tail phenomena. We also illustrate the versatility and parsimony of the proposed approach in modelling a real-world heavy-tailed fire insurance datase

KW - Inhomogeneous phase-type

KW - heavy tail

KW - product integral

KW - matrix Pareto distribution

KW - matrix Weibull distribution

U2 - 10.1017/jpr.2019.60

DO - 10.1017/jpr.2019.60

M3 - Journal article

VL - 56

SP - 1044

EP - 1064

JO - Journal of Applied Probability

JF - Journal of Applied Probability

SN - 0021-9002

IS - 4

ER -

ID: 232977532