L. Rojas-Nandayapa

activity

20122017

most citedFitting phase--type scale mixtures to heavy--tailed data and distributions

3 citations · 10 across the 7 of their papers we have counts for

collaborators

Showing 2015Show all

2 papers · 1 filter

math.PR2015

Approximating the Laplace transform of the sum of dependent lognormals

Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen +1

Let $(X_{1}, \dots, X_{n})$ be multivariate normal, with mean vector $μ$ and covariance matrix $Σ$ , and $S_{n} = e^{X_{1}} + \dots + e^{X_{n}}$ . The Laplac…

math.PR2015★ 3 cited

Asymptotic tail behavior of phase-type scale mixture distributions

Leonardo Rojas-Nandayapa, Wangyue Xie

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 nonneg…