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stat.ME2020
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…
math.ST2020
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Hansjoerg Albrecher, Mogens Bladt, Jorge Yslas
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like…
math.PR2020
Point process convergence for the off-diagonal entries of sample covariance matrices
Johannes Heiny, Thomas Mikosch, Jorge Yslas
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of th…