58 citations · 76 across the 12 of their papers we have counts for
19 papers
Likelihood estimation for stochastic differential equations with mixed effects
Fernando Baltazar-Larios, Mogens Bladt, Michael Sørensen
Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. In case of repeated observations of time series for several expe…
Aggregate Markov models in life insurance: estimation via the EM algorithm
Jamaal Ahmad, Mogens Bladt
In this paper, we consider statistical estimation of time-inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi…
Aggregate Markov models in life insurance: properties and valuation
Jamaal Ahmad, Mogens Bladt, Christian Furrer
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain t…
Estimating absorption time distributions of general Markov jump processes
Jamaal Ahmad, Martin Bladt, Mogens Bladt
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous…
Phase-type representations of stochastic interest rates with applications to life insurance
Jamaal Ahmad, Mogens Bladt
The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future pa…
Continuous scaled phase-type distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt +1
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and…
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Mogens Bladt, Jevgenijs Ivanovs
There is an abundance of useful fluctuation identities for one-sided Lévy processes observed up to an independent exponentially distributed time horizon. We show that all the funda…
Multivariate phase-type theory for the site frequency spectrum
Asger Hobolth, Mogens Bladt, Lars Nørvang Andersen
Linear functions of the site frequency spectrum (SFS) play a major role for understanding and investigating genetic diversity. Estimators of the mutation rate (e.g. based on the to…
Mortality modeling and regression with matrix distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt +1
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valu…
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Hansjoerg Albrecher, Mogens Bladt, Jorge Yslas
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like…
Multivariate fractional phase--type distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mi…
Multivariate Matrix Mittag--Leffler distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose margi…
Matrix Mittag--Leffler distributions and modeling heavy-tailed risks
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneo…
Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes
Mogens Bladt, Søren Asmussen, Mogens Steffensen
A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for t…
Inhomogeneous phase--type distributions and heavy tails
Hansjörg Albrecher, Mogens Bladt
We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descrip…
Phase-type distributions in population genetics
Asger Hobolth, Arno Siri-Jégousse, Mogens Bladt
Probability modelling for DNA sequence evolution is well established and provides a rich framework for understanding genetic variation between samples of individuals from one or mo…
Fitting phase--type scale mixtures to heavy--tailed data and distributions
Mogens Bladt, Leonardo Rojas-Nandayapa
We consider the fitting of heavy tailed data and distribution with a special attention to distributions with a non--standard shape in the "body" of the distribution. To this end we…
Simulation of multivariate diffusion bridge
Mogens Bladt, Samuel Finch, Michael Sørensen
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differen…
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Mogens Bladt, Michael Sørensen
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridg…