| Publication | Date of Publication | Type |
|---|
Corrigendum to: ``Simulation of multivariate diffusion bridges
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Aggregate Markov models in life insurance: estimation via the EM algorithm
Scandinavian Actuarial Journal | 2024-08-14 | Paper |
Estimating absorption time distributions of general Markov jump processes
Scandinavian Journal of Statistics | 2024-03-15 | Paper |
Phase-type representations of stochastic interest rates with applications to life insurance
European Actuarial Journal | 2024-02-21 | Paper |
Aggregate Markov models in life insurance: properties and valuation
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Continuous scaled phase-type distributions
Stochastic Models | 2023-05-17 | Paper |
Mortality modeling and regression with matrix distributions
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case
Scandinavian Journal of Statistics | 2023-01-05 | Paper |
| Aggregate Markov models in life insurance: estimation via the EM algorithm | 2022-12-20 | Paper |
Mortality modeling and regression with matrix distributions
Insurance Mathematics & Economics | 2022-11-01 | Paper |
Moments and polynomial expansions in discrete matrix-analytic models
Stochastic Processes and their Applications | 2022-06-20 | Paper |
From PH/MAP to ME/RAP
Queueing Systems | 2022-06-16 | Paper |
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Quantitative Finance | 2022-05-27 | Paper |
Multivariate phase-type theory for the site frequency spectrum
Journal of Mathematical Biology | 2021-12-14 | Paper |
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Multivariate matrix Mittag-Leffler distributions
Annals of the Institute of Statistical Mathematics | 2021-07-20 | Paper |
Multivariate fractional phase-type distributions
Fractional Calculus \ Applied Analysis | 2021-03-31 | Paper |
Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2020-12-07 | Paper |
Mortality modeling and regression with matrix distributions
(available as arXiv preprint) | 2020-11-06 | Paper |
Matrix representations of life insurance payments
European Actuarial Journal | 2020-11-04 | Paper |
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
Extremes | 2020-09-10 | Paper |
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
(available as arXiv preprint) | 2020-06-23 | Paper |
Inhomogeneous phase-type distributions and heavy tails
Journal of Applied Probability | 2019-12-17 | Paper |
Phase-type distributions in population genetics
Theoretical Population Biology | 2019-06-27 | Paper |
Simulation of Multivariate Diffusion Bridges
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Simulation of Multivariate Diffusion Bridges
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
| Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes | 2019-05-11 | Paper |
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Fitting phase-type scale mixtures to heavy-tailed data and distributions
Extremes | 2018-08-03 | Paper |
Calculation of ruin probabilities for a dense class of heavy tailed distributions
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Matrix-Exponential Distributions in Applied Probability
Probability Theory and Stochastic Modelling | 2017-05-02 | Paper |
| Saddlepoint approximation to gamma convolutions | 2016-07-20 | Paper |
On the use of functional calculus for phase-type and related distributions
Stochastic Models | 2016-05-04 | Paper |
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2014-05-05 | Paper |
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bernoulli | 2014-05-05 | Paper |
Bilateral matrix-exponential distributions
Matrix-Analytic Methods in Stochastic Models | 2013-07-29 | Paper |
Moment distributions of phase type
Stochastic Models | 2012-01-25 | Paper |
Fisher information and statistical inference for phase-type distributions
Journal of Applied Probability | 2011-10-25 | Paper |
On the construction of bivariate exponential distributions with an arbitrary correlation coefficient
Stochastic Models | 2010-08-05 | Paper |
Multivariate matrix-exponential distributions
Stochastic Models | 2010-05-21 | Paper |
Pricing Derivatives Incorporating Structural Market Changes and in Time Correlation
Stochastic Models | 2008-12-17 | Paper |
A Review on Phase-type Distributions and their Use in Risk Theory
ASTIN Bulletin | 2006-10-04 | Paper |
The estimation of phase-type related functionals using Markov chain Monte Carlo methods
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Statistical Inference for Discretely Observed Markov Jump Processes
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-09-01 | Paper |
| scientific article; zbMATH DE number 1867247 (Why is no real title available?) | 2003-07-08 | Paper |
Matrix‐Exponential Distributions: Calculus and Interpretations via Flows
Stochastic Models | 2003-03-18 | Paper |
Point processes with finite-dimensional conditional probabilities
Stochastic Processes and their Applications | 2002-08-29 | Paper |
A markov modulated financial model
Communications in Statistics. Stochastic Models | 2000-04-03 | Paper |
An actuarial approach to option pricing under the physical measure and without market assumptions
Insurance Mathematics & Economics | 1998-01-01 | Paper |
Phase-type distributions and risk processes with state-dependent premiums
Scandinavian Actuarial Journal | 1997-12-01 | Paper |
| scientific article; zbMATH DE number 967329 (Why is no real title available?) | 1997-10-01 | Paper |
The variance constant for the actual waiting time of the PH/PH/1 queue
The Annals of Applied Probability | 1997-01-28 | Paper |
Poisson's equation for queues driven by a Markovian marked point process
Queueing Systems | 1995-03-28 | Paper |
A sample path approach to mean busy periods for Markov-modulated queues and fluids
Advances in Applied Probability | 1995-03-20 | Paper |
Multivariate self-similar processes: second-order theory
Journal of Applied Probability | 1994-10-10 | Paper |
