Conditional Tail Expectations for Multivariate Phase Type Distributions
نویسندگان
چکیده
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 for 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 formulas of 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 reveals structural insight, but also yields some new distributional properties for multivariate phase type distributions.
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