8 citations · 14 across the 28 of their papers we have counts for
10 papers · 1 filter
Approximations of semi-Markov processes and insurance policy valuation
Martin Bladt, Andreea Minca, Oscar Peralta
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximat…
Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
Martin Bladt, Oscar Peralta
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. Ho…
Fractional Inhomogeneous Multi-state Models in Life Insurance
Martin Bladt
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commu…
A tractable class of multivariate phase-type distributions for loss modeling
Martin Bladt
Phase-type (PH) distributions are a popular tool for the analysis of univariate risks in numerous actuarial applications. Their multivariate counterparts (MPH), however, hav…
Tail Measures and Regular Variation
Martin Bladt, Enkelejd Hashorva, Georgiy Shevchenko
A general framework for the study of regular variation (RV) is that of Polish star-shaped metric spaces, while recent developments in [1] have discussed RV with respect to some pro…
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…
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Hansjörg Albrecher, Martin Bladt, Eleni Vatamidou
We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound represe…
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…
Characterisation of exchangeable sequences through empirical distributions
Martin Bladt, Dimitry Shaiderman
It is a well-known fact that an exchangeable sequence has empirical distributions that form a reverse-martingale. This paper is devoted to proof of the converse statement. As a byp…