Showing math.STShow all
3 papers · 1 filter
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
Bivariate phase-type distributions for experience rating in disability insurance
Christian Furrer, Jacob Juhl Sørensen, Jorge Yslas
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distribu…
math.ST2025
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…