6 citations · 16 across the 6 of their papers we have counts for
9 papers
Graphon Hawkes Processes: Sparse Estimation and Network Recovery
Justin R. Baars, Roger J. A. Laeven, Michel R. H. Mandjes
Learning interaction structures from spatiotemporal event data is a key statistical problem in fields such as neuroscience, epidemiology, and seismology. We study this problem for…
Spatiotemporal Hawkes processes with a graphon-induced connectivity structure
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce a spatiotemporal self-exciting point process , boundedly finite both over time and space , with excitation structure determined by a…
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,…
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…
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…
Explicit computations for some Markov modulated counting processes
Michel Mandjes, Peter Spreij
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an…
Sample-path Large Deviations in Credit Risk
Vincent Leijdekker, Michel Mandjes, Peter Spreij
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large dev…