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Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 565-579

Persistent link: https://www.econbiz.de/10009404668

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

Stochastic simulation framework for the limit order book using liquidity-motivated agents

Panayi, Efstathios; Peters, Gareth W. - In: International journal of financial engineering 2 (2015) 2, pp. 1-52

Persistent link: https://www.econbiz.de/10011333470

A dynamic stochastic integrated climate-conomic spatiotemporal model for agricultural insurance products

Gao, Suikai; Bagnarosa, Guillaume; Peters, Gareth; … - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 1, pp. 27-6

Persistent link: https://www.econbiz.de/10014513807

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

Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method

England, Peter D.; Verrall, Richard J.; Wüthrich, Mario V. - In: Annals of actuarial science : publ. by the Institute of … 6 (2012) 2, pp. 258-283

Persistent link: https://www.econbiz.de/10009625594

Stochastic claims reserving methods in insurance

Wüthrich, Mario V.; Merz, Michael - 2008

Persistent link: https://www.econbiz.de/10003681775

An individual claims history simulation machine

Gabrielli, Andrea; Wüthrich, Mario V. - In: Risks : open access journal 6 (2018) 2, pp. 1-32

The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We provide a fully calibrated stochastic...

Persistent link: https://www.econbiz.de/10011811737

Sequential Monte Carlo sampling for state space models

Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.

Persistent link: https://www.econbiz.de/10011800920

Neural network embedding of the over-dispersed Poisson reserving model

Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012195016