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Matrix Mittag-Leffler distributions and modeling heavy-tailed risks - MaRDI portal

Matrix Mittag-Leffler distributions and modeling heavy-tailed risks (Q2198600)

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Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
scientific article

    Statements

    title
    Matrix Mittag-Leffler distributions and modeling heavy-tailed risks (English)
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    author
    Martin Bladt
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    Mogens Bladt
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    Hansjoerg Albrecher
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    published in
    Extremes
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    publication date
    10 September 2020
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    zbMATH Keywords
    matrix distributions
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    Mittag-Leffler functions
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    heavy tails
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    risk modeling
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    phase-type distributions
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    random scaling
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    Identifiers

    Mathematics Subject Classification ID
    62G32
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    62P05
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    33E12
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    91G05
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    62E10
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    62F10
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    zbMATH DE Number
    7246200
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    OpenAlex ID
    W3034077979
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    arXiv ID
    1906.05316
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