Gareth William Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University

Chair Professor of Statistics for Risk and Insurance

Edinburgh Campus

Edinburgh, EH14 4AS

United Kingdom

http://garethpeters78.wixsite.com/garethwpeters

University of Oxford - Man Institute of Quantitative Finance

Affiliated Academic Member

University of Oxford Eagle House

Walton Well Road

Oxford, OX2 6ED

United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre

Affiliated Academic Member

Houghton St

London

United Kingdom

University of New South Wales (UNSW) - Faculty of Science

Affiliated Professor

Australia

SCHOLARLY PAPERS

62

DOWNLOADS
Rank 3,955

SSRN RANKINGS

Top 3,955

in Total Papers Downloads

8,426

CITATIONS
Rank 28,904

SSRN RANKINGS

Top 28,904

in Total Papers Citations

8

Scholarly Papers (62)

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177,
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 130 (186,693)

Abstract:

Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 0
  • Add to Cart

Abstract:

operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

2.

Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Number of pages: 26 Posted: 22 Mar 2013 Last Revised: 23 Jan 2014
Matthew Ames, Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 117 (150,340)

Abstract:

Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula

3.

Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective

Number of pages: 34 Posted: 06 Sep 2014
Gareth William Peters, Ariane Chapelle and Efstathios Panayi
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 108 (111,933)

Abstract:

Virtual Currency, Crypto Currency, Operational Risk, Regulation, Basel II

4.

Heavy-Tailed Features and Dependence in Limit Order Book Volume Profiles in Futures Markets

Number of pages: 37 Posted: 22 May 2013 Last Revised: 05 May 2015
Kylie-Anne Richards, Gareth William Peters and William T.M. Dunsmuir
University of New South Wales (UNSW) - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of New South Wales
Downloads 67 (222,902)

Abstract:

Limit order book, Futures markets, High frequency volume profiles, Microstructure, Heavy tail

5.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo S Targino, Gareth William Peters and Pavel V. Shevchenko
Fundação Getulio Vargas, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 60 (208,521)

Abstract:

Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

6.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Gareth William Peters, Guillaume Bagnarosa and Ioannis Kosmidis
University College London - Department of Statistical Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ESC Rennes and Department of Statistical Science, University College London
Downloads 57 (229,004)

Abstract:

Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

7.

Stochastic Simulation Framework for the Limit Order Book Using Liquidity Motivated Agents

Number of pages: 45 Posted: 19 Jan 2015
Efstathios Panayi and Gareth William Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 53 (204,500)

Abstract:

Limit order book, agent-based model, copula dependence, exchange regulation

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth William Peters, Rodrigo S Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Fundação Getulio Vargas and Macquarie University
Downloads 42 (364,735)

Abstract:

Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth William Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Department of Statistical Science and Macquarie University
Downloads 8 (535,979)

Abstract:

Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

9.

Trends in Crypto-Currencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Number of pages: 25 Posted: 19 Aug 2015
Gareth William Peters, Efstathios Panayi and Ariane Chapelle
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Computer Science
Downloads 36 (7,962)

Abstract:

Crypto-currency, virtual currency, regulation, monetary theory

10.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 34 (212,570)

Abstract:

Limit Order Book, liquidity, resilience, GLM, GAMLSS

11.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 30 (159,348)

Abstract:

Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

12.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth William Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich
Downloads 26 (266,663)

Abstract:

dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

13.

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Quantile Regression

Number of pages: 33 Posted: 12 Feb 2014
Alice X.D. Dong, Jennifer S.K. Chan and Gareth William Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 19 (327,047)

Abstract:

Asymmetric Laplace distribution, Bayesian inference, Markov chain Monte Carlo methods, Quantile regression, loss reserve, risk margin, central estimate

14.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Fundação Getulio Vargas, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University - Department of Statistics and Macquarie University
Downloads 12 (354,545)

Abstract:

Multiple stopping rules, Operational risk, Insurance

15.

An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

Number of pages: 13 Posted: 04 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 10 (348,118)

Abstract:

Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

16.

Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

Posted: 11 Oct 2017
Gareth William Peters
Department of Actuarial Mathematics and Statistics, Heriot-Watt University

Abstract:

Machine Learning, Risk, Insurance, Statistical Learning

17.

Statistical Modelling for Precision Agriculture: A Case Study in Optimal Environmental Schedules for Agaricus Bisporus Production via Variable Domain Functional Regression

Number of pages: 26 Posted: 08 Aug 2017
Efstathios Panayi, Gareth William Peters and George Kyriakides
University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Kyiakides Mushrooms Ltd.
Downloads 0 (430,793)

Abstract:

Functional Regression, Variable Domain Functional Regression, Precision Agriculture, Yield Models

18.

Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

Number of pages: 25 Posted: 02 Aug 2017
Maciej Marówka, Gareth William Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 0 (435,895)

Abstract:

Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning

19.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
Wilson Y. Chen, Gareth William Peters, Richard H. Gerlach and Scott Sisson
University of Sydney Business School, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 0 (364,573)

Abstract:

symbolic data, time series, MCMC, quantile function, g-and-h, Value-at-Risk

20.

Likelihood-Free Bayesian Inference for α-Stable Models

Number of pages: 33 Posted: 10 Jun 2017
Gareth William Peters, Scott Sisson and Y. Fan
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 0 (451,472)

Abstract:

α-stable distributions; Approximate Bayesian computation; Bayesian inference; Likelihood-free inference; Multivariate models

21.

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Number of pages: 33 Posted: 06 Jun 2017
affiliation not provided to SSRN, affiliation not provided to SSRN, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and affiliation not provided to SSRN
Downloads 0 (378,880)

Abstract:

Bayesian inference, Sequential Monte Carlo sampler, complex models

22.

Langevin and Hamiltonian Based Sequential MCMC for Efficient Bayesian Filtering in High-Dimensional Spaces

IEEE Journal of Selected Topics in Signal Processing, Special issue on Stochastic Simulation and Optimisation in Signal Processing (2015)
Number of pages: 32 Posted: 06 Jun 2017
Francois Septier Septier and Gareth William Peters
affiliation not provided to SSRN and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (477,567)

Abstract:

Bayesian inference, filtering, Sequential Monte Carlo, Markov Chain Monte Carlo, state-space model, high-dimensional

23.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth William Peters, Mario V. Wuthrich and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, RiskLab, ETH Zurich and Macquarie University
Downloads 0 (416,017)
Citation 1

Abstract:

claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

24.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko and Gareth William Peters
Macquarie University and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (411,402)

Abstract:

operational risk; loss distribution approach; Basel II

25.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth William Peters, Aaron D. Byrnes and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) and Macquarie University
Downloads 0 (406,939)

Abstract:

Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

26.

A Spatiotemporal Analysis of Participatory Sensing Data 'Tweets' and Extreme Climate Events Toward Real-Time Urban Risk Management

This manuscript was presented in the 14th International Conference on Computers in Urban Planning and Urban Management (CUPUM 2015).
Number of pages: 34 Posted: 05 Jun 2017
Yoshiki Yamagata, Daisuke Murakami, Gareth William Peters and Tomoko Matsui
University of Tsukuba, University of Tsukuba - Graduate School of Systems and Information Engineering, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Independent
Downloads 0 (441,098)

Abstract:

heat wave, twitter

27.

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 William 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 0 (336,014)

Abstract:

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

28.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Gareth William Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (456,761)
Citation 2

Abstract:

Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

29.

Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data

Number of pages: 37 Posted: 05 Jun 2017
Efstathios Panayi, Gareth William Peters and Ioannis Kosmidis
University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Department of Statistical Science, University College London
Downloads 0 (402,557)

Abstract:

Limit Order Book, Liquidity, High Frequency Finance

30.

Bayesian Inference, Monte Carlo Sampling and Operational Risk.

 Peters G.W. and Sisson S.A. (2006) “Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3). ,
Number of pages: 24 Posted: 05 Jun 2017
Gareth William Peters and Scott Sisson
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 0 (425,767)
Citation 4

Abstract:

Approximate Bayesian Computation; Basel II Advanced Measurement Approach; Bayesian Inference; Compound Processes; Loss Distributional Approach; Markov Chain Monte Carlo; Operational Risk

31.

Bayesian Cointegrated Vector Autoregression Models Incorporating α-Stable Noise for Inter-Day Price Movements Via Approximate Bayesian Computation

Number of pages: 39 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Cambridge - Department of Engineering
Downloads 0 (451,472)
Citation 1

Abstract:

Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

32.

Model Selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Model

Number of pages: 24 Posted: 05 Jun 2017
Gareth William Peters, Balakrishnan Kannan, Ben Lasscock and Chris Mellen
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (467,154)

Abstract:

Cointegrated Vector Auto Regression, Adaptive Markov chain Monte Carlo, Bayesian Inference, Bayes Factors, Savage-Dickey

33.

An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

Number of pages: 42 Posted: 05 Jun 2017
Pierre Del Moral, Gareth William Peters and Christelle Verge
INRIA Bordeaux-Sud Ouest, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Independent
Downloads 0 (430,793)

Abstract:

insurance, particle filtering, sequential monte carlo, accept-reject, Feynmann-Kac Interacting Particles

34.

A Copula Based Bayesian Approach for Paid–Incurred Claims Models for Non-Life Insurance Reserving

Number of pages: 40 Posted: 05 Jun 2017
Gareth William Peters, Alice X.D. Dong and Robert Kohn
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, The University of Sydney - School of Mathematics and Statistics and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 0 (461,960)

Abstract:

Chain Ladder Models, Claims Reserving, Data Augmentation, Adaptive Markov Chain Monte Carlo

35.

On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation

Probability Surveys, ISSN: 1549-5787 (2008)
Number of pages: 24 Posted: 05 Jun 2017
Gareth William Peters, Y. Fan and Scott Sisson
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 0 (472,324)

Abstract:

Asymptotic analysis, Convergence, Interacting particle systems, Sequential Monte Carlo samplers

36.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, CSIRO and Macquarie University
Downloads 0 (344,981)

Abstract:

Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

37.

Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US Treasuries

Number of pages: 36 Posted: 04 May 2017
Hongxuan Yan, Jennifer S.K. Chan and Gareth William Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (258,721)

Abstract:

Long memory Count Time Series, Bayesian Forecasting, Futures Contract, Open Interest, Traded Volume, Liquidity, Treasury Securities, GARMA, ARFIMA, Generalized Poisson Distribution

38.

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Number of pages: 53 Posted: 03 May 2017
Gareth William Peters, Rodrigo S Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Fundação Getulio Vargas and RiskLab, ETH Zurich
Downloads 0 (200,588)

Abstract:

Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

39.

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Number of pages: 30 Posted: 01 May 2017
Maciej Marówka, Gareth William Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 0 (368,114)

Abstract:

Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

40.

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Bank of England Working Paper No. 655
Number of pages: 34 Posted: 10 Apr 2017
Emmanouil Karimalis, Ioannis Kosmidis and Gareth William Peters
Bank of England, Department of Statistical Science, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (302,692)

Abstract:

Stress-testing, term structure, yield curve, liquidity risk, credit risk

41.

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Number of pages: 28 Posted: 16 Feb 2017
Maciej Marówka, Gareth William Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 0 (357,865)

Abstract:

Cointegration, Bayesian, Hamiltonian Monte Carlo

42.

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 41 Posted: 31 Jan 2017 Last Revised: 24 Mar 2017
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 0 (348,118)

Abstract:

mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

43.

Supplement to: 'Spectral Characterization of the Family α-Stable Processes that Generalize Gaussian Process Models.'

Number of pages: 42 Posted: 12 Jan 2017
Nourddine Azzaoui, Gareth William Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 0 (430,793)

Abstract:

44.

Spectral Characterization of the Non-Independent Increment Family of Alpha-Stable Processes that Generalize Gaussian Process Models.

Number of pages: 37 Posted: 04 Jan 2017
Nourddine Azzaoui, Gareth William Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 0 (348,118)

Abstract:

45.

Overview of Emerging Blockchain Architectures and Platforms for Electronic Trading Exchanges

Number of pages: 20 Posted: 10 Nov 2016
Gareth William Peters and Guy R. Vishnia
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 0 (67,155)

Abstract:

Blockchain; Blockchain transaction reporting; Trade reporting; Transparency

46.

Part B: Evaluating Concordance Measures via a Tensor Approximation of Generalized Correlated Diffusions

Number of pages: 29 Posted: 03 Oct 2016
Antonio Dalessandro and Gareth William Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (361,116)

Abstract:

Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra

47.

Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

Number of pages: 29 Posted: 20 Sep 2016
University College London - Department of Statistical Science, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and Independent
Downloads 0 (191,946)

Abstract:

Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

48.

Blockchain Architectures for Electronic Exchange Reporting Requirements: EMIR, Dodd Frank, MiFID I/II, MiFIR, REMIT, Reg NMS and T2S.

Number of pages: 48 Posted: 31 Aug 2016 Last Revised: 07 Sep 2016
Gareth William Peters and Guy R. Vishnia
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 0 (63,871)

Abstract:

Blockchain, Blockchain transaction reporting, Dodd-Frank, EMIR, Exchange Regulation, MiFID I, MiFID II and MiFIR, REMIT, Reg NMS, T2S and CSD, Trade reporting, Transparency

49.

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

Number of pages: 34 Posted: 22 Jul 2016 Last Revised: 31 May 2017
Antonio Dalessandro and Gareth William Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (324,149)

Abstract:

Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra

50.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 0 (66,302)

Abstract:

51.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 0 (327,047)

Abstract:

mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

52.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth William Peters, Rodrigo S Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Fundação Getulio Vargas and RiskLab, ETH Zurich
Downloads 0 (170,469)

Abstract:

Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

53.

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Number of pages: 41 Posted: 29 Feb 2016
Gareth William Peters, Wilson Y. Chen and Richard H. Gerlach
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of Sydney Business School and University of Sydney
Downloads 0 (341,944)

Abstract:

Non-life Insurance, Claims Modelling, Quantile Models, g-and-h, g-and-k, g-and-j, loss modelling

54.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
University College London - Department of Statistical Science, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 0 (123,547)

Abstract:

Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

55.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 0 (361,116)

Abstract:

Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

56.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
University College London - Department of Statistical Science, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 0 (178,481)

Abstract:

Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

57.

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Number of pages: 33 Posted: 24 Nov 2015
Gareth William Peters and Efstathios Panayi
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 0 (4,427)

Abstract:

Blockchain, distributed ledger, databases, smart contracts, digital assets, data integrity, provisioning, government cash management, clearing, settlement

58.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth William Peters and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University

Abstract:

operational risk, insurance, heavy tailed risk modelling

59.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo G Cruz, Gareth William Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University

Abstract:

operational risk, insurance, risk modelling

60.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Gareth William Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, QinetiQ Ltd, Macquarie University and University of Cambridge - Department of Engineering

Abstract:

Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

61.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth William Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich

Abstract:

Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

62.

Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance

Number of pages: 18 Posted: 16 Oct 2017
Dan I Georgescu, Nicholas Higham and Gareth William Peters
Bank of England - Prudential Regulation Authority, University of Manchester and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0

Abstract:

Matrix Completion, Correlation Matrix, Positive Definite Matrix, Maximal Determinant, Chordal Graph, Covariance Selection, Insurance, Risk Management

Other Papers (1)

Total Downloads: 70    Citations: 0
1.

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G.W. Methodology and Computing in Applied Probability (2017). doi:10.1007/s11009-017-9545-8
Number of pages: 35 Posted: 26 Feb 2015 Last Revised: 08 Feb 2017
Antonio Dalessandro and Gareth William Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 0 (280,558)

Abstract:

Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators