Journal articles

  

  • M. Bladt (1994) Multivariate second order self–similar processes, J. Appl. Probab., 31, 139–147.

 

  • S. Asmussen & M. Bladt (1994) Poisson’s equation for queues driven by a Markovian marked point process, Queueing systems, 17, 235–274.

 

  • S. Asmussen & M. Bladt (1994) A sample path approach to mean busy periods for Markov–modulated queues and fluids, Adv. Appl. Probab, 26, 1117–1121.

 

  • S. Asmussen & M. Bladt (1996) Phase-type distributions and risk processes with state–dependent premiums, Scandinavian Actuarial Journal, 19-36.

 

  • M. Bladt (1996) The Variance Constant for the PH/PH/1 Actual Waiting Time, The Annals of Applied Probability, 6, 3, 766–777 .

 

  • M. Bladt (1998) A Markov modulated financial model. Stochastic Models, 14, 225-240.

 

  • M. Bladt & Tina H. Rydberg (1998) An actuarial approach to option pricing under the physical measure and without market assumptions, Insurance: Mathematics and Economics, 22, 65–73.

 

  • S. Asmussen & M. Bladt (1999) Point processes with finite–dimensional conditional probabilities. Stochastic Processes and their applications, 82, 127–142.

 

  • M. Bladt & M.F. Neuts (2003) Matrix–exponential distributions: Calculus and interpretations via flows. S tochastic Models, 19, 113-124.

 

  • M. Bladt, A. González & S. L. Lauritzen (2003) The estimation of phase–type related functionals through Markov chain Monte Carlo methodology. Scand. Actuar. J., no. 4, 280–300

 

  • M. Bladt (2005) A review on phase-type distributions and their use in risk theory. ASTIN Bulletin, 35,1, 145-161.

 

  • M. Bladt & M. Sørensen (2005) Statistical inference for discretely observed Markov jump processes, J. R. Satist. Soc B., 67, 395–410.

 

  • M. Bladt, E. Méndez & P. Padilla (2008) Pricing derivatives incorporating structural market changes and in time correlation. Stoch. Models, 24, 164–183.

 

  • M. Bladt & M. Sørensen (2009) Efficient estimation of transition rates between credit ratings from observations at discrete time points. Quantitative Finance, 9: (2), 147–160. (Taylor & Francis)

 

  • M. Bladt & B.F. Nielsen (2009) Multivariate matrix–exponential distributions. Stochastic Models, 26,1, 1–26.

 

  • M. Bladt & B. F. Nielsen (2010) On the Construction of Bivariate Exponential Distributions with an Arbitrary Correlation Coefficient , Stochastic Models, 26, 2, 295–308.

 

  • M. Bladt & B.F. Nielsen (2011) Moment distributions of phase type, Stochastic Models, 27,4,651–663.

 

  • M. Bladt, L. J. Rodriques–Esparza & B. F. Nielsen (2011) Fisher information and statistical inference for phase-type distributions, Journal of Applied Probability , 48A, 277-294.

 

  • M. Bladt & M. Sørensen (2013) Simple simulation of diffusion bridges with applications to likelihood inference for diffuions , Bernoulli,20, 645-675.

 

  • M. Bladt, B. F. Nielsen & G. Samorodnitsky (2015) Calculation of ruin probabilities for a dense class of heavy tailed distributions , Scand. Act. J., 7, 573–591, DOI: 10.1080/03461238.2013.865257 (online).

 

  • R. Elizondo, P. Padilla & M. Bladt (2015) Pricing American Options Using Transition Probabilities: A Dynamical Systems, Open Journal of Statistics, 5, 525-542, DOI: 10.4236/ojs.2015.56056 .

 

  • M. Bladt, S. Finch & M. Søresen (2016) Simulation of multivariate diffusion bridges. Journal of the Royal Statistical Society, B, 78, part 2, 343–369.

 

  • M. Bladt, A. Campillo–Navarro & B.F. Nielsen (2016) On the use of functional calculus for phase–type and related distributions. Stochastic Models, 32, 1, 1–19, DOI:10.1080/15326349.2015.1064773

 

  • M. Bladt & L. Rojas-Nandayapa (2017) Fitting phase-type scale mixtures to heavy-tailed data and distributions. To appear in Extremes.