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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
Phase-type frailty models: A flexible approach to modeling unobserved heterogeneity in survival analysis
Jorge Yslas
Frailty models are essential tools in survival analysis for addressing unobserved heterogeneity and random effects in the data. These models incorporate a random effect, the frailt…