1 citations · 1 across the 1 of their papers we have counts for
10 papers
Trimmed extreme value estimators for censored heavy-tailed data
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance obser…
Optimal ratcheting of dividends in a Brownian risk model
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate…
On the profitability of selfish blockchain mining under consideration of ruin
Hansjoerg Albrecher, Pierre-Olivier Goffard
Mining blocks on a blockchain equipped with a proof of work consensus protocol is well-known to be resource-consuming. A miner bears the operational cost, mainly electricity consum…
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…
Tempered Pareto-type modelling using Weibull distributions
Jose Carlos Araujo Acuna, Hansjoerg Albrecher, Jan Beirlant
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are…
Multivariate Matrix Mittag--Leffler distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose margi…