Adam M. Johansen

University of Bristol - Department of Mathematics

Bristol, BS8 1TW

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

166

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation.

Number of pages: 27 Posted: 05 Jun 2017
Gareth Peters, Adam M. Johansen and Arnaud Doucet
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of Bristol - Department of Mathematics and University of Cambridge - Department of Engineering
Downloads 166 (196,088)

Abstract:

Loading...

Importance Sampling; Trans-dimensional Markov Chain Monte Carlo; Basel II Advanced Measurement Approach; Panjer Recursions; Volterra Integral Equations; Compound Processes; Loss Distributional Approach; Operational Risk; Value at Risk; Expected Shortfall

2.

Quantifying the Uncertainty in Change Points

Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 807-823, 2012
Number of pages: 17 Posted: 30 Aug 2012
Christopher F. H. Nam, John A.D. Aston and Adam M. Johansen
affiliation not provided to SSRN, University of Warwick and University of Bristol - Department of Mathematics
Downloads 0 (726,247)
  • Add to Cart

Abstract:

Loading...

Change points, finite Markov chain imbedding, functional magnetic resonance imaging, hidden Markov models, sequential Monte Carlo, segmentation