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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

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. 36-52

Persistent link: https://www.econbiz.de/10008422779

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/10009911430

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

Peters, Gareth W.; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Risks 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/10011996548

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

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

Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth W.; … - In: Journal of Forecasting 37 (2018) 8, pp. 805-831

Persistent link: https://www.econbiz.de/10012081974

Impact of insurance for operational risk : is it worthwhile to insure or be insured for severe losses?

Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 287-303

Persistent link: https://www.econbiz.de/10008989317

Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883

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