6 citations · 6 across the 2 of their papers we have counts for
2 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…
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…