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03/03/2023
Conditional Aalen–Johansen estimation
The conditional Aalen–Johansen estimator, a general-purpose non-parametr...
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07/22/2022
Estimating absorption time distributions of general Markov jump processes
The estimation of absorption time distributions of Markov jump processes...
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07/04/2022
Joint discrete and continuous matrix distribution modelling
In this paper we introduce a bivariate distribution on ℝ_+×ℕ arising fro...
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06/27/2022
Expert Kaplan–Meier estimation
The setting of a right-censored random sample subject to contamination i...
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06/27/2022
Informed censoring: the parametric combination of data and expert information
The statistical censoring setup is extended to the situation when random...
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04/06/2022
Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
The study of inhomogeneous Markov jump processes is a traditional topic ...
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10/31/2021
Phase-type mixture-of-experts regression for loss severities
The task of modeling claim severities is addressed when data is not cons...
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10/11/2021
Phase-type distributions for claim severity regression modeling
This paper addresses the task of modeling severity losses using segmenta...
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10/11/2021
A tractable class of Multivariate Phase-type distributions for loss modeling: Theoretical developments
Phase-type (PH) distributions are a popular tool for the analysis of uni...
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07/19/2021
Heavy-tailed phase-type distributions: A unified approach
Heavy-tailed phase-type random variables have mathematically tractable d...
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07/02/2021
Time series models with infinite-order partial copula dependence
Stationary and ergodic time series can be constructed using an s-vine de...
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05/12/2021
Trimmed extreme value estimators for censored heavy-tailed data
We consider estimation of the extreme value index and extreme quantiles ...
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03/03/2021
Continuous scaled phase-type distributions
We study random variables arising as the product of phase-type distribut...
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01/20/2021
matrixdist: An R Package for Inhomogeneous Phase-Type Distributions
Inhomogeneous phase-type distributions (IPH) are a broad class of laws w...
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11/06/2020
Inhomogeneous Markov Survival Regression Models
We propose new regression models in survival analysis based on homogeneo...
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06/19/2020
Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling
An approach to modelling volatile financial return series using d-vine c...
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03/24/2020
Multivariate fractional phase–type distributions
We extend the Kulkarni class of multivariate phase–type distributions in...
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03/23/2020
Multivariate Matrix Mittag–Leffler distributions
We extend the construction principle of multivariate phase-type distribu...
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08/09/2019
Combined Tail Estimation Using Censored Data and Expert Information
We study tail estimation in Pareto-like settings for datasets with a hig...
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06/12/2019
Matrix Mittag--Leffler distributions and modeling heavy-tailed risks
In this paper we define the class of matrix Mittag-Leffler distributions...
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03/19/2019