Arnaud Doucet

University of Cambridge - Department of Engineering

Cambridge

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

184

SSRN CITATIONS

0

CROSSREF CITATIONS

11

Scholarly Papers (3)

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 (195,745)

Abstract:

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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

2.

Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes

Number of pages: 25 Posted: 18 Oct 2004
University of Cambridge, affiliation not provided to SSRN, University of Cambridge - Department of Engineering and University of Cambridge - Department of Engineering
Downloads 18 (579,293)
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3.

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

Abstract:

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