7 citations · 7 across the 2 of their papers we have counts for
3 papers
q-fin.MF2021
On Capital Allocation for a Risk Measure Derived from Ruin Theory
Guusje Delsing, Michel Mandjes, Peter Spreij +1
This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest…
math.PR2020
A transient Cramér-Lundberg model with applications to credit risk
Guusje Delsing, Michel Mandjes
This paper considers a variant of the classical Cramér-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to…
math.PR2018★ 7 cited
Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
G. A. Delsing, M. R. H. Mandjes, P. J. C. Spreij +1
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven b…