8 citations · 14 across the 28 of their papers we have counts for
3 papers · 2 filters
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…