Recursions for Compound Phase Distributions
8 Pages Posted: 19 Jan 2012
Date Written: August 4, 2005
Abstract
In this paper, we study a simple recursion procedure for a compound phase-type distribution. This procedure is only based on the rationality of the characteristic function of the phase-type distribution of the claim number.
Keywords: Phase-type distributions, Recursions for compound variables
JEL Classification: C02
Suggested Citation: Suggested Citation
Eisele, Karl-Theodor, Recursions for Compound Phase Distributions (August 4, 2005). Insurance: Mathematics and Economics, Vol. 38, p. 149, 2006, Available at SSRN: https://ssrn.com/abstract=1987495
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