8 citations · 14 across the 28 of their papers we have counts for
10 papers · 1 filter
Phase-type distributions for claim severity regression modeling
Martin Bladt
This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not un…
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…
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…
Time series models with infinite-order partial copula dependence
Martin Bladt, Alexander J. McNeil
Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula…
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…
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…
matrixdist: An R Package for Statistical Analysis of Matrix Distributions
Martin Bladt, Alaric Mueller, Jorge Yslas
The matrixdist R package provides a comprehensive suite of tools for the statistical analysis of matrix distributions, including phase-type, inhomogeneous phase-type, discrete phas…