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Mortality models incorporating long memory for life table estimation : a comprehensive analysis

Yan, Hongxuan; Peters, Gareth; Chan, Jennifer - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 567-604

Persistent link: https://www.econbiz.de/10012656709

Full Bayesian analysis of claims reserving uncertainty

Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 73 (2017), pp. 41-53

Persistent link: https://www.econbiz.de/10011702044

Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks

Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Risks : open access journal 5 (2017) 4, pp. 1-51

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method...

Persistent link: https://www.econbiz.de/10011783091

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

Model risk in mortality-linked contingent claims pricing

Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53

Persistent link: https://www.econbiz.de/10014540592

Dynamic operational risk : modeling dependence and combining different sources of information

Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. - In: The journal of operational risk 4 (2009/10) 2, pp. 69-104

Persistent link: https://www.econbiz.de/10003883157

Chain ladder method : Bayesian bootstrap versus classical bootstrap

Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10003985384

Risk margin quantile function via parametric and non-parametric Bayesian approaches

Dong, Alice X. D.; Chan, Jennifer S. K.; Peters, Gareth W. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 503-550

Persistent link: https://www.econbiz.de/10011397246

A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving

Peters, Gareth W.; Dong, Alice X. D.; Kohn, Robert - In: Insurance / Mathematics & economics 59 (2014), pp. 258-278

Persistent link: https://www.econbiz.de/10010470006

Multivariate long-memory cohort mortality models

Yan, Hongxuan; Peters, Gareth W.; Chan, Jennifer S. K. - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 223-263

Persistent link: https://www.econbiz.de/10012194127