3 citations · 4 across the 3 of their papers we have counts for
5 papers · 1 filter
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 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 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…