Similar Search Results

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

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

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

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

Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

Shevchenko, Pavel V. - In: The journal of computational finance 6 (2003) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10001753388

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

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

Analysis of Option-Like Fund Performance Fees in Asset Management via Monte Carlo Actuarial Distortion Pricing

Chudtong, Mantana; Peters, Gareth; De Gaetano, Andrea - 2021

A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. Whilst, fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment...

Persistent link: https://www.econbiz.de/10013323351

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Peters, Gareth - 2017

Persistent link: https://www.econbiz.de/10012957257

Dynamic quantile function models

Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691

Persistent link: https://www.econbiz.de/10013367940