Mogens Bladt
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Aggregate Markov models in life insurance: Properties and valuation
Ahmad, Jamaal, Bladt, Mogens & Furrer, Christian, 2023, In: Insurance: Mathematics and Economics. 113, p. 50-69Research output: Contribution to journal › Journal article › Research › peer-review
- E-pub ahead of print
Aggregate Markov models in life insurance: estimation via the EM algorithm
Ahmad, Jamaal & Bladt, Mogens, 2024, (E-pub ahead of print) In: Scandinavian Actuarial Journal. 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Continuous scaled phase-type distributions
Albrecher, H., Bladt, Martin Rainer, Bladt, Mogens & Yslas, J., 2023, In: Stochastic Models. 39, 2, p. 293-322Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Estimating absorption time distributions of general Markov jump processes
Ahmad, Jamaal, Bladt, Martin Rainer & Bladt, Mogens, 2024, In: Scandinavian Journal of Statistics. 51, 1, p. 171-200Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Albrecher, H., Bladt, Mogens & Yslas, J., 2022, In: Scandinavian Journal of Statistics. 49, 1, p. 44-77Research output: Contribution to journal › Journal article › Research › peer-review
Fitting phase-type scale mixtures to heavy-tailed data and distributions
Bladt, Mogens & Rojas-Nandayapa, L., 2018, In: Extremes. 21, 2, p. 285-313Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Bladt, Mogens & Ivanovs, J., 2021, In: Stochastic Processes and Their Applications. 142, p. 105-123Research output: Contribution to journal › Journal article › Research › peer-review
- Published
From PH/MAP to ME/RAP
Asmussen, S. & Bladt, Mogens, Apr 2022, In: Queueing Systems. 100, 3-4, p. 173-175 3 p.Research output: Contribution to journal › Letter › Research › peer-review
- Published
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, S. & Bladt, Mogens, 2022, In: Quantitative Finance. 22, 4, p. 675-689Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Inhomogeneous phase-type distributions and heavy tails
Albrecher, H. & Bladt, Mogens, 2019, In: Journal of Applied Probability. 56, 4, p. 1044-1064Research output: Contribution to journal › Journal article › Research › peer-review
ID: 141785158
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209
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Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
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155
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Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Research output: Contribution to journal › Journal article › Research › peer-review
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147
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Phase-type distributions in population genetics
Research output: Contribution to journal › Journal article › Research › peer-review
Published