Matrix Mittag-Leffler distributions and modeling heavy-tailed risks

DOI10.1007/s10687-020-00377-0zbMath1450.62044arXiv1906.05316OpenAlexW3034077979MaRDI QIDQ2198600

Martin Bladt, Mogens Bladt, Hansjoerg Albrecher

Publication date: 10 September 2020

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.05316

zbMATH Keywords

heavy tailsMittag-Leffler functionsrandom scalingphase-type distributionsrisk modelingmatrix distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Mittag-Leffler functions and generalizations (33E12) Actuarial mathematics (91G05)

Related Items

Heavy-tailed phase-type distributions: a unified approach ⋮ Multivariate fractional phase-type distributions ⋮ Continuous scaled phase-type distributions ⋮ Shock models based on renewal processes with matrix Mittag-Leffler distributed inter-arrival times ⋮ PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling ⋮ TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS ⋮ Multivariate matrix Mittag-Leffler distributions ⋮ Trimmed extreme value estimators for censored heavy-tailed data ⋮ Penalised likelihood methods for phase-type dimension selection

Uses Software

• EMpht

Cites Work

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