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math.ST2019
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…
math.PR2019★ 1 cited
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…