7 citations · 13 across the 3 of their papers we have counts for
Showing 2018Show all
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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…
q-fin.RM2018★ 6 cited
An optimization approach to adaptive multi-dimensional capital management
G. A. Delsing, M. R. H. Mandjes, P. J. C. Spreij +1
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital le…