Oscar Peralta

collaborators

5 papers

math.PR2026

Optimization-Free Concentrated Matrix-Exponentials

Maria Laura Battagliola, Oscar Peralta

Near-deterministic positive delays require highly concentrated distributions, but phase-type models are constrained by the Erlang variance limit. While matrix-exponential distribut…

math.PR2026

Matrix Representations for Scale Functions of Spectrally Negative Lévy Processes with Rational Jumps

Osvaldo Angtuncio Hernández, Oscar Peralta

For a spectrally negative Lévy process with Laplace transform $ψ$ , the $q$ -scale function is characterized as the function whose Laplace transform is $(ψ (\cdot) - q)^{- 1}$ . It has ap…

math.PR2026

Rational arrival processes with strictly positive densities need not be Markovian

Oscar Peralta

Telek (2022) asked whether a rational arrival process (RAP), specified by matrices $G_{0}$ and $G_{1}$ and an initial row vector $ν$ , with strictly positive joint densities and a u…

math.ST2025

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…

math.ST2025

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…