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On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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A ruin model with a resampled environment
Constantinescu, Corina; Delsing, G.; Mandjes, Michel; … - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 323-341
Persistent link: https://www.econbiz.de/10012262740
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An optimization approach to adaptive multi-dimensional capital management
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97
Persistent link: https://www.econbiz.de/10011990447
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The Cramér-Lundberg model with a fluctuating number of clients
Braunsteins, Peter; Mandjes, Michel - In: Insurance / Mathematics & economics 112 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014446650