A simple compound scan statistic useful for modeling insurance and risk management problems

Vasileios M. Koutras, Markos V. Koutras and Femin Yalcin

Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 202-209

Abstract: In the present work we study the distribution of a random sum of random variables which is related to a binary scan statistic for Markov dependent trials. The motivation of the model studied herein stems from several areas of applied science such as actuarial science, financial risk management, quality control and reliability, educational psychology, engineering, etc.

Keywords: Waiting times; Compound distributions; Binary scan statistics; Phase-type distributions; Actuarial science; Risk management (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:69:y:2016:i:c:p:202-209

DOI: 10.1016/j.insmatheco.2016.05.005

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