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

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

Karl-Theodor Eisele (Contact Author)

University of Strasbourg ( email )

61, avenue de la foret noire
Strasbourg, Alsace 3000
France

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