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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…