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math.PR2019
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,…
math.PR2017★ 1 cited
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…