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Risk modelling with the mixed Erlang distribution
Author(s) -
Willmot Gordon E.,
Lin X. Sheldon
Publication year - 2011
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.838
Subject(s) - erlang (programming language) , erlang distribution , econometrics , computer science , risk model , context (archaeology) , aggregate (composite) , class (philosophy) , mathematics , mathematical economics , statistics , gamma distribution , theoretical computer science , artificial intelligence , functional programming , paleontology , materials science , composite material , biology
A review of analytical and computational properties of the mixed Erlang distribution is given in the context of risk analysis. Basic distributional properties are discussed, and examples of members of the class are provided. Its use in aggregate claims, stop‐loss analysis, and risk measures is considered, as are applications in ruin theoretic analysis of the surplus process. Statistical estimation of model parameters is then discussed. Copyright © 2010 John Wiley & Sons, Ltd.