8 citations · 14 across the 28 of their papers we have counts for
3 papers · 1 filter
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…