Journal
ANNALS OF ACTUARIAL SCIENCE
Volume 12, Issue 2, Pages 412-432Publisher
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S1748499517000136
Keywords
Phase-type; Discrete scale mixtures; Heavy-tailed; Maximum domain of attraction; Ruin probability
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Funding
- Australian Research Council (ARC) [DE130100819]
- IPRS/APA scholarship at The University of Queensland
- Australian Research Council [DE130100819] Funding Source: Australian Research Council
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We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable Y and a non-negative but otherwise arbitrary random variable S called the scaling random variable. We investigate conditions for such a class of distributions to be either light- or heavy-tailed, we explore subexponentiality and determine their maximum domains of attraction. Particular focus is given to phase-type scale mixture distributions where the scaling random variable S has discrete support - such a class of distributions has been recently used in risk applications to approximate heavy-tailed distributions. Our results are complemented with several examples.
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