8 citations · 14 across the 28 of their papers we have counts for
5 papers · 1 filter
Mortality modeling and regression with matrix distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt +1
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valu…
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…
Time series copula models using d-vines and v-transforms
Martin Bladt, Alexander J. McNeil
An approach to modelling volatile financial return series using stationary d-vine copula processes combined with Lebesgue-measure-preserving transformations known as v-transforms i…
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…