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Advances in Heavy Tailed Risk Modeling : A Handbook of Operational Risk

Peters, Gareth - 2015

A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook...

Persistent link: https://www.econbiz.de/10011834754

Fundamental Aspects of Operational Risk and Insurance Analytics : A Handbook of Operational Risk

Cruz, Marcelo G.; Peters, Gareth; Shevchenko, Pavel V. - 2015 - 1. Aufl.

A one-stop guide for the theories, applications, andstatistical methodologies essential to operational risk Providing a complete overview of operational risk modeling andrelevant insurance analytics, Fundamental Aspects of OperationalRisk and Insurance Analytics: A Handbook of Operational...

Persistent link: https://www.econbiz.de/10011839011

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

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 48 (2011) 2, pp. 287-303

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

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 49 (2011) 3, pp. 565-579

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

Full Bayesian analysis of claims reserving uncertainty

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

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

Opening discussion on banking sector risk exposures and vulnerabilities from Virtual currencies : an operational risk perspective

Peters, Gareth; Chapelle, Ariane; Panayi, Efstathios - In: Open economies review 17 (2016) 4, pp. 239-272

Persistent link: https://www.econbiz.de/10011718562

Trends in cryptocurrencies and blockchain technologies : a monetary theory and regulation perspective

Peters, Gareth; Panayi, Efstathios; Chapelle, Ariane - In: The Journal of financial perspectives 3 (2015) 3, pp. 92-113

Persistent link: https://www.econbiz.de/10011720484

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

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