Berdel, Jasmin; Hipp, Christian - In: Insurance: Mathematics and Economics 48 (2011) 3, pp. 374-377
This paper is concerned with multivariate phase-type distributions introduced by Assaf et al. (1984). We show that the sum of two independent bivariate vectors each with a bivariate phase-type distribution is again bivariate phase-type and that this is no longer true for higher dimensions....
