Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

http://https://sites.google.com/site/rodrigodossantostargino/

SCHOLARLY PAPERS

6

DOWNLOADS

693

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

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 191 (158,501)
Citation 1

Abstract:

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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

2.

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 181 (166,427)

Abstract:

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

3.

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 Targino, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 138 (209,248)
Citation 1

Abstract:

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

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 Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University
Downloads 49 (398,754)

Abstract:

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5.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 12 Dec 2018
Diogo Duarte, Yuri Saporito and Rodrigo Targino
Florida International University (FIU) - Department of Finance, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 73 (322,036)

Abstract:

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Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

6.

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 61 (353,992)

Abstract:

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Multiple stopping rules, Operational risk, Insurance