Peter Spreij
University of Amsterdam
Peter Spreij received the M.Sc. degree in mathematics from the Vrije Universiteit in Amsterdam in 1979 and the Ph.D. degree from Twente University in 1987. He has been a Researcher with CWI, Amsterdam, and the Department of Econometrics, Vrije Universiteit. Since 1999, he has been a Researcher with the Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam, and the Institute for Mathematics, Astrophysics and Particle Physics, Radboud University, Nijmegen, since 2015. He also holds since 2024 a position as a visiting professor at the University of Lisbon. He has published on a variety of topics in stochastic systems theory, asymptotic statistics, Bayesian statistics, theory of stochastic processes, matrix theory, mathematical finance, and information theory.
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Articles by Peter Spreij
Credit risk meets insurance risk: a unified framework
Extending the influential CreditRisk+ model for portfolio credit risk modeling, the authors propose adding a continuous-time extension to the model.