8 citations · 14 across the 28 of their papers we have counts for
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math.ST2021
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…
math.ST2021
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…
math.ST2021
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…