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