Conditional tail expectations for multivariate phase-type distributions
2005 ◽
Vol 42
(03)
◽
pp. 810-825
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Keyword(s):
The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure of right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase-type distribution, and derive explicit formulae for several conditional tail expectations of the convolution and extreme values for such dependent risks. Utilizing the underlying Markovian property of these distributions, our method not only provides structural insight, but also yields some new distributional properties of multivariate phase-type distributions.
2005 ◽
Vol 42
(3)
◽
pp. 810-825
◽
1992 ◽
Vol 29
(01)
◽
pp. 92-103
◽
1985 ◽
Vol 22
(01)
◽
pp. 247-250
◽
Keyword(s):
2006 ◽
Vol 43
(03)
◽
pp. 755-766
◽
Keyword(s):
1991 ◽
Vol 23
(03)
◽
pp. 515-535
◽
Keyword(s):
2006 ◽
Vol 43
(3)
◽
pp. 755-766
◽