Convolutions of multivariate phase-type distributions

Jasmin Berdel and Christian Hipp

Insurance: Mathematics and Economics, 2011, vol. 48, issue 3, 374-377

Abstract: This paper is concerned with multivariate phase-type distributions introduced by Assaf et al. (1984). We show that the sum of two independent bivariate vectors each with a bivariate phase-type distribution is again bivariate phase-type and that this is no longer true for higher dimensions. Further, we show that the distribution of the sum over different components of a vector with multivariate phase-type distribution is not necessarily multivariate phase-type either, if the dimension of the components is two or larger.

Keywords: Phasetype; distributions; Dependence; models; Convolution (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:3:p:374-377

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