8 citations · 14 across the 28 of their papers we have counts for
4 papers · 1 filter
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…
Approximations of semi-Markov processes and insurance policy valuation
Martin Bladt, Andreea Minca, Oscar Peralta
Inspired by a duration-dependent life insurance model, we consider continuous-time semi-Markov jump processes, initially assumed to have a finite state-space. We develop approximat…
Individual claims reserving using the Aalen--Johansen estimator
Martin Bladt, Gabriele Pittarello
We propose an individual claims reserving model based on the conditional Aalen-Johansen estimator, as developed in Bladt and Furrer (2023b). In our approach, we formulate a multi-s…
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…