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
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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