Takip et
Rodrigo S. Targino
Rodrigo S. Targino
Assistant Professor, EMAp/FGV
fgv.br üzerinde doğrulanmış e-posta adresine sahip - Ana Sayfa
Başlık
Alıntı yapanlar
Alıntı yapanlar
Yıl
Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
RS Targino, GW Peters, PV Shevchenko
Insurance: Mathematics and Economics 61, 206-226, 2015
412015
Understanding operational risk capital approximations: First and second orders
GW Peters, RS Targino, PV Shevchenko
The Journal of Governance and Regulation 2 (3), 2013
212013
Optimal exercise strategies for operational risk insurance via multiple stopping times
RS Targino, GW Peters, G Sofronov, PV Shevchenko
Methodology and Computing in Applied Probability 19, 487-518, 2017
20*2017
Full bayesian analysis of claims reserving uncertainty
GW Peters, RS Targino, MV Wüthrich
Insurance: Mathematics and Economics 73, 41-53, 2017
152017
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
GW Peters, RS Targino, MV Wüthrich
Risks 5 (4), 53, 2017
102017
Avoiding zero probability events when computing Value at Risk contributions
T Koike, Y Saporito, R Targino
Insurance: Mathematics and Economics 106, 173-192, 2022
9*2022
Risk budgeting portfolios from simulations
BFP da Costa, SM Pesenti, RS Targino
European Journal of Operational Research 311 (3), 1040-1056, 2023
82023
Risk Budgeting Allocation for Dynamic Risk Measures
SM Pesenti, S Jaimungal, YF Saporito, RS Targino
Operations Research, 2024
62024
A Gamma Moving Average Process For Modelling Dependence Across Development Years In Run-Off Triangles
LE Nieto-Barajas, RS Targino
ASTIN Bulletin: The Journal of the IAA 51 (1), 245-266, 2021
4*2021
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
M Merkle, YF Saporito, RS Targino
Statistics & Probability Letters 156, 108600, 2020
32020
Big data no mercado de seguros de veículos: estudo de caso para a região metropolitana do Rio de Janeiro
OF Guilarte, RS Targino, PGC Ferreira
12018
Stochastic modelling of football matches
LFGN Maia, T Pennanen, MAHB da Silva, RS Targino
arXiv preprint arXiv:2312.04338, 2023
2023
Conformal prediction for frequency-severity modeling
H Graziadei, PC Marques F., EFL de Melo, RS Targino
arXiv preprint arXiv:2307.13124, 2023
2023
Transform MCMC schemes for sampling intractable factor copula models
C Bénézet, E Gobet, R Targino
Methodology and Computing in Applied Probability 25 (1), 13, 2023
2023
Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020)
D Evangelista, Y Saporito, R Targino
Available at SSRN 3825680, 2021
2021
Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model
C Bénézet, E Gobet, R Targino
INFORMS Annual Meeting, 2020
2020
The Impact of the Freedom of the Press on Risk
D Duarte, Y Saporito, R Targino
Available at SSRN 3218754, 2018
2018
Teoremas de Nao-Arbitragem em Mercados Regidos pelo Movimento Browniano Fracionário
R dos Santos Targino
2010
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Makaleler 1–18