Research output per year
Research output per year
- 21 results
Search results
-
2024
Aggregate Markov models in life insurance: estimation via the EM algorithm
Ahmad, J. & Bladt, M., 2024, In: Scandinavian Actuarial Journal. 2024, 6, p. 533-560Research output: Contribution to journal › Journal article › Research › peer-review
File3 Downloads (Pure) -
Estimating absorption time distributions of general Markov jump processes
Ahmad, J., Bladt, M. & Bladt, M., 2024, In: Scandinavian Journal of Statistics. 51, 1, p. 171-200Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile1 Citation (Scopus)7 Downloads (Pure) -
Phase-type distributions in mathematical population genetics: An emerging framework
Hobolth, A., Rivas-González, I., Bladt, M. & Futschik, A., 2024, In: Theoretical Population Biology. 157, p. 14-32Research output: Contribution to journal › Review › Research › peer-review
Open AccessFile1 Citation (Scopus)6 Downloads (Pure) -
2023
Aggregate Markov models in life insurance: Properties and valuation
Ahmad, J., Bladt, M. & Furrer, C., 2023, In: Insurance: Mathematics and Economics. 113, p. 50-69Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile1 Citation (Scopus)38 Downloads (Pure) -
Continuous scaled phase-type distributions
Albrecher, H., Bladt, M., Bladt, M. & Yslas, J., 2023, In: Stochastic Models. 39, 2, p. 293-322Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile2 Citations (Scopus)32 Downloads (Pure) -
Phase-type representations of stochastic interest rates with applications to life insurance
Ahmad, J. & Bladt, M., 2023, In: European Actuarial Journal. 13, p. 571–606Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile19 Downloads (Pure) -
2022
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Albrecher, H., Bladt, M. & Yslas, J., 2022, In: Scandinavian Journal of Statistics. 49, 1, p. 44-77Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile11 Citations (Scopus)26 Downloads (Pure) -
From PH/MAP to ME/RAP
Asmussen, S. & Bladt, M., Apr 2022, In: Queueing Systems. 100, 3-4, p. 173-175 3 p.Research output: Contribution to journal › Letter › Research › peer-review
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Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, S. & Bladt, M., 2022, In: Quantitative Finance. 22, 4, p. 675-689Research output: Contribution to journal › Journal article › Research › peer-review
4 Citations (Scopus) -
Moments and polynomial expansions in discrete matrix-analytic models
Asmussen, S. & Bladt, M., 2022, In: Stochastic Processes and Their Applications. 150, p. 1165-1188Research output: Contribution to journal › Journal article › Research › peer-review
1 Citation (Scopus) -
Mortality modeling and regression with matrix distributions
Albrecher, H., Bladt, M., Bladt, M. & Yslas, J., 2022, In: Insurance: Mathematics and Economics. 107, p. 68-87 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile7 Citations (Scopus)15 Downloads (Pure) -
2021
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Bladt, M. & Ivanovs, J., 2021, In: Stochastic Processes and Their Applications. 142, p. 105-123Research output: Contribution to journal › Journal article › Research › peer-review
File2 Citations (Scopus)18 Downloads (Pure) -
Multivariate matrix Mittag–Leffler distributions
Albrecher, H., Bladt, M. & Bladt, M., 2021, In: Annals of the Institute of Statistical Mathematics. 73, 2, p. 369 - 394Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile6 Citations (Scopus)54 Downloads (Pure) -
Multivariate phase-type theory for the site frequency spectrum
Hobolth, A., Bladt, M. & Andersen, L. N., 2021, In: Journal of Mathematical Biology. 83, 6-7, 63.Research output: Contribution to journal › Journal article › Research › peer-review
File3 Citations (Scopus)24 Downloads (Pure) -
2020
Matrix Mittag–Leffler distributions and modeling heavy-tailed risks
Albrecher, H., Bladt, M. & Bladt, M., 2020, In: Extremes. 23, 3, p. 425-450Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile16 Citations (Scopus)43 Downloads (Pure) -
Matrix representations of life insurance payments
Bladt, M., Asmussen, S. & Steffensen, M., 2020, In: European Actuarial Journal. 10, 1, p. 29-67Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile13 Citations (Scopus)240 Downloads (Pure) -
Multivariate fractional phase–type distributions
Albrecher, H., Bladt, M. & Bladt, M., 2020, In: Fractional Calculus and Applied Analysis. 23, 5, p. 1431-1451Research output: Contribution to journal › Journal article › Research › peer-review
File6 Citations (Scopus)33 Downloads (Pure) -
2019
Inhomogeneous phase-type distributions and heavy tails
Albrecher, H. & Bladt, M., 2019, In: Journal of Applied Probability. 56, 4, p. 1044-1064Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile21 Citations (Scopus)131 Downloads (Pure) -
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Bladt, M., Nielsen, B. F. & Peralta, O., 2 Jan 2019, In: Scandinavian Actuarial Journal. 2019, 1, p. 32-61Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile9 Citations (Scopus)172 Downloads (Pure) -
Phase-type distributions in population genetics
Hobolth, A., Siri-Jégousse, A. & Bladt, M., 2019, In: Theoretical Population Biology. 127, p. 16-32 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile22 Citations (Scopus)161 Downloads (Pure) -
2018
Fitting phase-type scale mixtures to heavy-tailed data and distributions
Bladt, M. & Rojas-Nandayapa, L., 2018, In: Extremes. 21, 2, p. 285-313Research output: Contribution to journal › Journal article › Research › peer-review
17 Citations (Scopus)