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Type: Journal article
Title: On the nature of Phase-type Poisson distributions
Author: Hautphenne, S.
Latouche, G.
Nguyen, G.
Citation: Annals of Actuarial Science, 2014; 8(1):79-98
Publisher: Institute and Faculty of Actuaries
Issue Date: 2014
ISSN: 1748-4995
Statement of
Sophie Hautphenne, Guy Latouche, Giang T. Nguyen
Abstract: Matrix-form Poisson probability distributions were recently introduced as one matrix generalization of Panjer distributions. We show in this paper that under the constraint that their representation is to be nonnegative, they have a physical interpretation as extensions of PH distributions, and we name this restricted family Phase-type Poisson. We use our physical interpretation to construct an EM algorithm-based estimation procedure.
Keywords: Panjer’s algorithm; generalized Panjer distributions; compound distributions; EM algorithm; minimal variance; PH-Poisson
Rights: © Institute and Faculty of Actuaries 2013
DOI: 10.1017/S1748499513000122
Grant ID:–ULB 5
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Mathematical Sciences publications

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