Výsledky vyhledávání - "Mogens Bladt"

Moments and polynomial expansions in discrete matrix-analytic models

Publikováno v: Asmussen, S & Bladt, M 2022, ' Moments and polynomial expansions in discrete matrix-analytic models ', Stochastic Processes and Their Applications, vol. 150, pp. 1165-1188 . https://doi.org/10.1016/j.spa.2021.12.002

Calculation of factorial moments and point probabilities is considered in integer-valued matrix-analytic models at a finite horizon T. Two main settings are considered, maxima of integer-valued downward skipfree Lévy processes and Markovian point pr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37392a804608c17de28bfff8a5f58781
https://doi.org/10.1016/j.spa.2021.12.002

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Corrigendum to ‘Simulation of Multivariate Diffusion Bridges’

Autor: Mogens Bladt, Samuel Finch, Michael Sørensen

Publikováno v: Journal of the Royal Statistical Society Series B: Statistical Methodology. 84:1581-1585

We correct an error in Theorem 1 in Bladt et al. (2016) Journal of the Royal Statistical Society: Series B, 78, 343–369 by changing the initial distribution of an auxiliary diffusion process, which is used to describe the distribution of the propos

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https://doi.org/10.1111/rssb.12512

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Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Autor: Søren Asmussen, Mogens Bladt

Publikováno v: Asmussen, S & Bladt, M 2022, ' Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ', Quantitative Finance, vol. 22, no. 4, pp. 675-689 . https://doi.org/10.1080/14697688.2021.1998585

The Gram–Charlier expansion of a target probability density, (Formula presented.), is an (Formula presented.) -convergent series (Formula presented.) in terms of a reference density (Formula presented.) and its orthonormal polynomials (Formula pres

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https://doi.org/10.1080/14697688.2021.1998585

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From PH/MAP to ME/RAP

Autor: Søren Asmussen, Mogens Bladt

Publikováno v: Asmussen, S & Bladt, M 2022, ' From PH/MAP to ME/RAP ', Queueing Systems, vol. 100, no. 3-4, pp. 173-175 . https://doi.org/10.1007/s11134-022-09755-w

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https://doi.org/10.1007/s11134-022-09755-w

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Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case

Autor: Mogens Bladt, Jorge Yslas, Hansjoerg Albrecher

Publikováno v: Albrecher, H, Bladt, M & Yslas, J 2022, ' Fitting inhomogeneous phase-type distributions to data : the univariate and the multivariate case ', Scandinavian Journal of Statistics, vol. 49, no. 1, pp. 44-77 . https://doi.org/10.1111/sjos.12505

The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher & Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like PH distributions, the class of IPH is dense in the class of distributio

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https://doi.org/10.1111/sjos.12505

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Multivariate Fractional Phase—Type Distributions

Autor: Mogens Bladt, Martin Bladt, Hansjoerg Albrecher

Publikováno v: Albrecher, H, Bladt, M & Bladt, M 2020, ' Multivariate fractional phase–type distributions ', Fractional Calculus and Applied Analysis, vol. 23, no. 5, pp. 1431-1451 . https://doi.org/10.1515/fca-2020-0071

We extend the Kulkarni class of multivariate phase{type distributions in a natural time{fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies on assigning

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https://doi.org/10.1515/fca-2020-0071

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Matrix Mittag–Leffler distributions and modeling heavy-tailed risks

Autor: Mogens Bladt, Martin Bladt, Hansjoerg Albrecher

Publikováno v: Albrecher, H, Bladt, M & Bladt, M 2020, ' Matrix Mittag–Leffler distributions and modeling heavy-tailed risks ', Extremes, vol. 23, no. 3, pp. 425-450 . https://doi.org/10.1007/s10687-020-00377-0

In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor, and alternative

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c2b172513ca4f64134ed154dedee3348
https://doi.org/10.1007/s10687-020-00377-0

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Multivariate matrix Mittag–Leffler distributions

Autor: Martin Bladt, Mogens Bladt, Hansjörg Albrecher

Publikováno v: Albrecher, H, Bladt, M & Bladt, M 2021, ' Multivariate matrix Mittag–Leffler distributions ', Annals of the Institute of Statistical Mathematics, vol. 73, no. 2, pp. 369-394 . https://doi.org/10.1007/s10463-020-00750-7

We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose marginal distributions are of Mittag–Leffler type with arbitrary index of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::996641f41c393de9994bb79c5b72246b
https://doi.org/10.1007/s10463-020-00750-7

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Phase-type representations of stochastic interest rates with applications to life insurance

Autor: Jamaal Ahmad, Mogens Bladt

The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future payments and equivalence premiums can be obtained as explicit formulas i

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Inhomogeneous phase-type distributions and heavy tails

Autor: Mogens Bladt, Hansjörg Albrecher

Publikováno v: Albrecher, H & Bladt, M 2019, ' Inhomogeneous phase-type distributions and heavy tails ', Journal of Applied Probability, vol. 56, no. 4, pp. 1044-1064 . https://doi.org/10.1017/jpr.2019.60
Journal of Applied Probability, vol. 56, no. 4, pp. 1044-1064

We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2c00b67e489cd17eda55769faaadbf4
https://doi.org/10.1017/jpr.2019.60

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