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09/07/2021
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
The resource-consuming mining of blocks on a blockchain equipped with a ...
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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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10/24/2020
On the profitability of selfish blockchain mining under consideration of ruin
Mining blocks on a blockchain equipped with a proof of work consensus pr...
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06/23/2020
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
The class of inhomogeneous phase-type distributions was recently introdu...
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04/10/2020
Tempered Pareto-type modelling using Weibull distributions
In various applications of heavy-tail modelling, the assumed Pareto beha...
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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