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