“…It has found a number of interesting applications across various fields. The advantage of working under phase-type distribution is that it allows some analytically tractable results in applications: e.g., in actuarial science (Rolski et al 1998, Albrecher and Asmussen 2010, Lin and Liu 2007, Lee and Lin 2010, option pricing (Asmussen et al 2004, Rolski et al 1998, queueing theory (Badila et al 2014, Chakravarthy and Neuts 2014, Buchholz et al 2014, Breuer and Baum 2005, Asmussen 2003, reliability theory (Assaf andLevikson 1982, Okamura andDohi 2015), and in survival analysis (Aalen 1995, Aalen andGjessing 2001). When jumps distribution of a compound Poisson process is modeled by phase-type distribution, it results in a dense class of Lévy processes, Asmussen et al (2004).…”