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 | 40 | 2015 |
Understanding operational risk capital approximations: First and second orders GW Peters, RS Targino, PV Shevchenko The Journal of Governance and Regulation 2 (3), 2013 | 21 | 2013 |
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 | 19* | 2017 |
Full bayesian analysis of claims reserving uncertainty GW Peters, RS Targino, MV Wüthrich Insurance: Mathematics and Economics 73, 41-53, 2017 | 14 | 2017 |
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks GW Peters, RS Targino, MV Wüthrich Risks 5 (4), 53, 2017 | 10 | 2017 |
Risk budgeting portfolios from simulations BFP da Costa, SM Pesenti, RS Targino European Journal of Operational Research 311 (3), 1040-1056, 2023 | 6 | 2023 |
Avoiding zero probability events when computing Value at Risk contributions T Koike, Y Saporito, R Targino Insurance: Mathematics and Economics 106, 173-192, 2022 | 6* | 2022 |
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 | 4 | 2020 |
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 | 3* | 2021 |
Risk Budgeting Allocation for Dynamic Risk Measures S Jaimungal, SM Pesenti, YF Saporito, RS Targino arXiv preprint arXiv:2305.11319, 2023 | 1 | 2023 |
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 |
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 | | 2018 |
Teoremas de Nao-Arbitragem em Mercados Regidos pelo Movimento Browniano Fracionário R dos Santos Targino | | 2010 |