Gareth 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 College London - Department of Statistical Science

Honorary Professor of Statistics

1-19 Torrington Place

London, WC1 7HB

United Kingdom

University of Oxford - 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

81

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CITATIONS
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8

Ideas:
“  Mathematical Statistics view of Machine Learning and Data Analytics for Risk and Insurance: from Unsupervised Learning Perspectives. Free draft lecture series continuously developed: Peters, Gareth William, Statistical Machine Learning and Data Analytic Methods for Risk and Insurance (October 31, 2017). Available at SSRN: https://ssrn.com/abstract=3050592 SUITABLE AUDIENCE: practitioners and graduate student courses in Business Schools (Business analytics, Actuarial courses, Econometric and Risk management programs) or (Statistics departments) Applicable to those seeking to learn fundamental aspects of unsupervised learning with insight and worked examples being developed for real insurance and risk management applications. Aim: to remove the black-box approach to ML applications through Statistical Analysis of the methods to gain understanding of their pros and cons in real use cases.  ”

Scholarly Papers (81)

1.

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 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 4,180 (1,982)

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

2.

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

Number of pages: 25 Posted: 19 Aug 2015
Gareth 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 2,595 (4,500)

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Crypto-currency, virtual currency, regulation, monetary theory

3.

Trends in Cryptocurrencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Journal of Financial Perspectives, Vol. 3, No. 3, 2015
Number of pages: 46 Posted: 08 Dec 2017
Gareth 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 1,923 (7,494)

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4.

Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

Number of pages: 309 Posted: 11 Oct 2017 Last Revised: 11 Dec 2017
Gareth Peters
Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 1,037 (19,918)

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Machine Learning, Risk, Insurance, Statistical Learning

5.

Overview of Emerging Blockchain Architectures and Platforms for Electronic Trading Exchanges

Number of pages: 20 Posted: 10 Nov 2016
Gareth Peters and Guy Vishnia
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 651 (38,325)

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Blockchain; Blockchain transaction reporting; Trade reporting; Transparency

6.

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 Peters and Guy Vishnia
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 578 (44,908)

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

7.

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 506 (53,200)

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Understanding Cyber Risk and Cyber Insurance

Number of pages: 30 Posted: 07 Nov 2017 Last Revised: 05 Mar 2018
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 248 (119,876)

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cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, Information Technology risk, business disruption

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko and Ruben Cohen
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and Independent
Downloads 247 (120,828)

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Fi nancial technology (FinTech), risk management, cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, information technology risk, business disruption

9.

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 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 300 (98,401)

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

10.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 244 (122,378)

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

11.

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
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 198 (149,706)

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

12.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 45 Posted: 20 Sep 2016 Last Revised: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 189 (156,347)

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

13.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 187 (157,836)

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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

14.

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 Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 185 (160,155)

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

15.

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 Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 179 (164,161)

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

16.

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

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 177 (165,784)

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

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 108 (247,296)

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Cyber Risk, Cyber Crime, Operational Risk, Cyber Insurance, Kernel K-Means, Clustering, Cyber Empirical Studies

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Independent and Central Bank of Tunisia
Downloads 62 (347,694)

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cyber risk, cyber crime, operational risk, cyber insurance, machine learning, k-means clustering method

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 155 (186,212)

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

19.

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 146 (195,359)

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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

20.

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 135 (208,085)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

21.

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
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 133 (210,595)

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

22.

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 Chan and Gareth 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 129 (215,809)

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

23.

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

Number of pages: 45 Posted: 19 Jan 2015
Efstathios Panayi and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 128 (217,083)

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

24.

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
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 120 (227,881)

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

25.

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

Number of pages: 19 Posted: 18 Jun 2014
The Institute of Statistical Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ESC Rennes and Department of Statistical Science, University College London
Downloads 110 (242,744)

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

26.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 102 (255,924)

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Liquidity Measures, Resilience, Limit Order Book, Liquidity Provision, Optimal Trade Execution

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

Number of pages: 41 Posted: 31 Jan 2017 Last Revised: 24 Mar 2017
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 73 (318,146)

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

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 45 Posted: 17 Apr 2018
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 29 (473,729)

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

28.

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
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich
Downloads 102 (255,924)

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

29.

Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics

Number of pages: 93 Posted: 22 Feb 2018 Last Revised: 27 Mar 2018
Dorota Toczydlowska and Gareth Peters
The Department of Statistical Science, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 98 (262,818)

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Interest Rates, yield curves, financial big data, probabilistic PCA, Feater Extraction, State Space Models, dynamic models

30.

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
Bank of England, Department of Statistical Science, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 93 (271,881)

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

31.

Global Perspectives on Operational Risk Management and Practice. A Survey by Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Number of pages: 49 Posted: 09 Mar 2018 Last Revised: 29 Apr 2018
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 91 (275,673)

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32.

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
The Department of Statistical Science, University College London, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Commonwealth Bank of Australia and Macquarie University
Downloads 86 (285,577)

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

33.

Tutorial on General Quantile Time Series Constructions

Number of pages: 33 Posted: 23 Oct 2017
Gareth Peters
Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 80 (298,365)

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quantile time series, time series, non-parametric, parametric, regression, quantile function

34.

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 Peters
Macquarie University and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 79 (300,591)

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operational risk; loss distribution approach; Basel II

35.

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

Number of pages: 44 Posted: 31 May 2016
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 78 (302,864)

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

36.

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

Number of pages: 30 Posted: 01 May 2017
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 75 (309,800)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

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
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University
Downloads 48 (393,036)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Department of Statistical Science and Macquarie University
Downloads 24 (502,313)

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

38.

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
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 71 (319,619)

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Cointegration, Bayesian, Hamiltonian Monte Carlo

39.

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 Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 69 (324,566)

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

40.

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

Number of pages: 41 Posted: 29 Feb 2016
Gareth Peters, Wilson Chen and Richard H. Gerlach
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of Sydney Business School and University of Sydney
Downloads 68 (327,129)

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

41.

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 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 66 (332,374)
Citation 4

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

42.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
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 64 (337,692)

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

43.

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
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 63 (340,452)

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44.

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

Number of pages: 7 Posted: 07 Dec 2015
Commonwealth Bank of Australia, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 62 (343,127)

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

45.

Mortality Models Incorporating Long Memory Improves Life Table Estimation: A Comprehensive Analysis

Number of pages: 122 Posted: 31 Mar 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 61 (345,953)

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Life Table, Life Expectancy, Lee Carter Model, Fractional Integrated Model, Bayesian Inference

46.

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

Number of pages: 33 Posted: 12 Feb 2014
Alice Dong, Jennifer Chan and Gareth 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 60 (348,764)

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

47.

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

Number of pages: 18 Posted: 16 Oct 2017
Dan Georgescu, Nicholas Higham and Gareth Peters
Bank of England - Prudential Regulation Authority, University of Manchester and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 59 (351,637)

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

48.

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 Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 58 (354,616)

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

49.

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 56 (360,686)

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Bayesian inference, Sequential Monte Carlo sampler, complex models

50.

Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process

Number of pages: 37 Posted: 27 Apr 2018
Sai Ganesh Nagarajan, Gareth Peters and Ido Nevat
Singapore University of Technology and Design (SUTD), Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 55 (363,800)

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Tukey Process, Co-Skewness, Co-Kurtosis, Non-Gaussian Spatial Process, Spatial Field Reconstruction

51.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University - Department of Statistics and Macquarie University
Downloads 55 (363,800)

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Multiple stopping rules, Operational risk, Insurance

52.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, RiskLab, ETH Zurich and Macquarie University
Downloads 51 (376,343)
Citation 1

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

53.

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
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 50 (379,598)

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

54.

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 Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 50 (379,598)

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

55.

A Feature-Ranking Framework for IoT Device Classification

Number of pages: 8 Posted: 03 Dec 2018
Singapore University of Technology and Design (SUTD), Singapore Telecommunications Limited (Singtel), Heriot-Watt University - Department of Actuarial Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and National University of Singapore (NUS)
Downloads 47 (393,069)

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Classification, Feature Selection, Cyber Risk, Internet of Things (IoT)

56.

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

Number of pages: 25 Posted: 02 Aug 2017
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 46 (393,069)

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

57.

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 Peters, Aaron Byrnes and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University of New South Wales (UNSW) and Macquarie University
Downloads 43 (403,752)

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

58.

Spatial Stackelberg Incentive Mechanism for Privacy-Aware Mobile Crowd Sensing

Journal of Machine Learning Research 1 (2000) 1-48
Number of pages: 31 Posted: 09 May 2018
Jing Yang Koh, Gareth Peters, Ido Nevat and Derek Leong
National University of Singapore (NUS) - Department of Information Systems and Analytics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and Agency for Science, Technology & Research (A*STAR) - Institute for Infocomm Research
Downloads 39 (418,683)

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59.

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 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 38 (422,734)

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Limit Order Book, Liquidity, High Frequency Finance

60.

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 Peters and Christelle Verge
INRIA Bordeaux-Sud Ouest, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Independent
Downloads 37 (426,746)

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

61.

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
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 30 (456,635)

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heat wave, twitter

62.

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

Number of pages: 40 Posted: 05 Jun 2017
Gareth Peters, Alice 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 30 (456,635)

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

63.

Likelihood-Free Bayesian Inference for α-Stable Models

Number of pages: 33 Posted: 10 Jun 2017
Gareth 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 29 (461,378)

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

64.

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

Number of pages: 42 Posted: 12 Jan 2017
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 29 (461,378)

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65.

Multivariate Long Memory Cohort Mortality Models

Number of pages: 25 Posted: 23 Apr 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 28 (466,311)

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mortality modelling, life expectancy, multivariate, cohort, long memory, count time series, pension

66.

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
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 28 (466,311)
Citation 2

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

67.

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 27 (471,349)
Citation 1

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

68.

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 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 25 (481,933)

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

69.

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

Number of pages: 24 Posted: 05 Jun 2017
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 25 (481,933)

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

70.

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 and Gareth Peters
affiliation not provided to SSRN and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 24 (487,398)

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

71.

Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing

Number of pages: 31 Posted: 31 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 20 (509,657)

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Life Table, Gengenbauer Polynomial, Lee Carter Model, Long Memory, Bayesian Inference, Annuity Pricing, Guaranteed Annuity Option

72.

Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods

Number of pages: 37 Posted: 06 Mar 2019
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 13 (549,876)

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Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency

73.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 21 Posted: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 11 (561,648)

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

74.

Evidence for Persistence and Long Memory Features in Mortality Data

Number of pages: 18 Posted: 30 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and The University of Sydney - School of Mathematics and Statistics
Downloads 10 (567,594)

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75.

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Number of pages: 34 Posted: 13 May 2019
Keio University - Faculty of Economics, University of New South Wales, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 3 (611,828)

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Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power

76.

Global Perspectives on Operational Risk Management and Practice: A Survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Journal of Operational Risk, Vol. 13, No. 4, 2018
Number of pages: 42 Posted: 10 Dec 2018
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
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operational risk, risk management, machine learning, clustering, artificial intelligence, regulatory technology

77.

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 Peters and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University

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operational risk, insurance, heavy tailed risk modelling

78.

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 Cruz, Gareth 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

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operational risk, insurance, risk modelling

79.

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
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, QinetiQ Ltd, Macquarie University and University of Cambridge - Department of Engineering

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

80.

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

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich

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

81.

AuditChain: A Trading Audit Platform Over Blockchain

Number of pages: 31
Guy Vishnia and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
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Regulation; Blockchain; Auditing; Distributed Ledger; Auctions; Periodic Auction; Dark Pools; Liquidity; Electronic Trading;

Other Papers (1)

Total Downloads: 77    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 Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 77 (280,558)

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Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators