1 citations · 1 across the 2 of their papers we have counts for
3 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…
Fast and scalable non-parametric Bayesian inference for Poisson point processes
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
We study the problem of non-parametric Bayesian estimation of the intensity function of a Poisson point process. The observations are independent realisations of a Poisson poin…
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…