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

DOI10.1111/SJOS.12505MaRDI QIDQ5872946zbMATH OpenOpenAlexFDO

Authors Mogens Bladt, Jorge Yslas, Hansjörg Albrecher

Publication date 5 January 2023

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.13003

zbMATH Keywords

parameter estimationheavy tailsinhomogeneous phase-typematrix Pareto distributionmatrix Weibull distributionmultivariate phase-type

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(11)

• Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• Aggregate Markov models in life insurance: estimation via the EM algorithm
• Phase-type representations of stochastic interest rates with applications to life insurance
• Multivariate matrix-exponential affine mixtures and their applications in risk theory
• Estimating absorption time distributions of general Markov jump processes
• Mortality modeling and regression with matrix distributions
• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• Penalised likelihood methods for phase-type dimension selection
• Phase-type mixture-of-experts regression for loss severities
• Joint lifetime modeling with matrix distributions

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