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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…
math.ST2022
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…