On the Phase-Type Approximations of General Distributions
β Scribed by Altiok, Tayfur
- Book ID
- 115518412
- Publisher
- Taylor and Francis Group
- Year
- 1985
- Tongue
- English
- Weight
- 301 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0740-817X
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π SIMILAR VOLUMES
A sub-class of phase-type distributions is defined in terms of a Markov process with sequential transitions between transient states and transitions from these states to absorption. Such distributions form a very rich class; they can be fitted to data, and any structure revealed by the parameter est
This paper proposes a new approximation to the aggregate claims distribution based on the inverse Gaussian (IG) distribution. It is compared to several other approximations in the literature. The IG approximation compares favorably to the well-known gamma approximation. We also propose an IG-gamma m