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Bayesian estimation for the M/G/1 queue using a phase-type approximation
This article deals with Bayesian inference and prediction for M/G/1 queueing systems. The general service time density is approximated with a class of Erlang mixtures which are phase-type distributions. Given this phase-type ...
Bayesian estimation of ruin probabilities with heterogeneous and heavy-tailed insurance claim size distribution
This paper describes a Bayesian approach to make inference for risk reserve processes with unknown claim size distribution. A flexible model based on mixtures of Erlang distributions is proposed to approximate the special ...