1 citations · 1 across the 2 of their papers we have counts for
4 papers
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…
A ruin model with a resampled environment
Corina Constantinescu, Guusje Delsing, Michel Mandjes +1
This paper considers a Cramér-Lundberg risk setting, where the components of the underlying model change over time. These components could be thought of as the claim arrival rate,…
Estimation of Local Degree Distributions via Local Weighted Averaging and Monte Carlo Cross-Validation
Paulo Serra, Michel Mandjes
Owing to their capability of summarising interactions between elements of a system, networks have become a common type of data in many fields. As networks can be inhomogeneous, in…
Dynamic Erdős-Rényi graphs
M. Mandjes, N. J. Starreveld, R. Bekker +1
We propose two classes of dynamic versions of the classical Erdős-Rényi graph: one in which the transition rates are governed by an external regime process, and one in which the tr…