8 citations · 14 across the 28 of their papers we have counts for
13 papers · 1 filter
Survival Isotonic Distributional Regression
Martin Bladt, Alexander Henzi, Bram van den Heuvel +1
We introduce Survival-IDR (S-IDR), a nonparametric estimator of conditional survival distributions under order restrictions, extending Isotonic Distributional Regression (IDR; Henz…
Local estimation of transition rates of jump processes through discretization
Martin Bladt, Rasmus Frigaard Lemvig
We investigate the Poisson regression method for Markov and semi-Markov jump processes from a nonparametric angle, allowing the lengths of the time and duration intervals in the pa…
Assessing continuous common-shock risk through matrix distributions
Martin Bladt, Oscar Peralta, Jorge Yslas
We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that…
Non-parametric cure models through extreme-value tail estimation
Jan Beirlant, Martin Bladt, Ingrid Van Keilegom
In survival analysis, the estimation of the proportion of subjects who will never experience the event of interest, termed the cure rate, has received considerable attention recent…
Modeling discrete common-shock risks through matrix distributions
Martin Bladt, Eric C. K. Cheung, Oscar Peralta +1
We introduce a novel class of bivariate common-shock discrete phase-type (CDPH) distributions to describe dependencies in loss modeling, with an emphasis on those induced by common…
Uniform Consistency of Generalized Fréchet Means
Andrea Aveni, Martin Bladt, Sayan Mukherjee
Loss-based notions of centre on nonlinear spaces range from the Fréchet mean and power means to the geometric median and, in a limiting sense, the Chebyshev centre. To use such sum…
Heterogeneous extremes in the presence of random covariates and censoring
Martin Bladt, Christoffer Øhlenschlæger
The task of analyzing extreme events with censoring effects is considered under a framework allowing for random covariate information. A wide class of estimators that can be cast a…
Censored extreme value estimation
Martin Bladt, Igor Rodionov
A novel and comprehensive methodology designed to tackle the challenges posed by extreme values in the context of random censorship is introduced. The main focus is on the analysis…
Conditional Aalen--Johansen estimation
Martin Bladt, Christian Furrer
The conditional Aalen--Johansen estimator, a general-purpose non-parametric estimator of conditional state occupation probabilities, is introduced. The estimator is applicable for…
Phase-type mixture-of-experts regression for loss severities
Martin Bladt, Jorge Yslas
The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business with…
Heavy-tailed phase-type distributions: A unified approach
Martin Bladt, Jorge Yslas
A phase-type distribution is the distribution of the time until absorption in a finite state-space time-homogeneous Markov jump process, with one absorbing state and the rest being…
Trimmed extreme value estimators for censored heavy-tailed data
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance obser…
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…