4 citations · 4 across the 4 of their papers we have counts for
4 papers
Outrunning the Omega Clock: A Singular Control Problem for Dividend Optimisation with Ruin and Time-in-Distress Default
Andi Bodnariu, Nils Engler, Neofytos Rodosthenous
This paper extends the classical dividend problem by incorporating a novel, path-dependent mechanism of firm default. In the traditional framework, ruin occurs when the surplus pro…
Regularisation of CART trees by summation of -values
Nils Engler, Mathias Lindholm, Filip Lindskog +1
The standard procedure to decide on the complexity of a CART regression tree is to use cross-validation with the aim of obtaining a predictor that generalises well to unseen data.…
Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
Nils Engler, Filip Lindskog
The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction f…
Gibbsianness of locally thinned random fields
Nils Engler, Benedikt Jahnel, Christof Kuelske
We consider the locally thinned Bernoulli field on , which is the lattice version of the Type-I Matérn hardcore process in Euclidean space. It is given as the lattice…