12 citations · 31 across the 7 of their papers we have counts for
7 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…
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…
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…
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…
Nonparametric Bayesian inference for multidimensional compound Poisson processes
Shota Gugushvili, Frank van der Meulen, Peter Spreij
Given a sample from a discretely observed multidimensional compound Poisson process, we study the problem of nonparametric estimation of its jump size density and intensity $…
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…