Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Praia de Botafogo

Rio de Janeiro, 22250-900

Brazil

http://rtargino.netlify.app/

SCHOLARLY PAPERS

8

DOWNLOADS

814

SSRN CITATIONS

11

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 211 (173,063)
Citation 1

Abstract:

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Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

2.

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

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 200 (181,976)
Citation 2

Abstract:

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Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

3.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 148 (235,829)
Citation 2

Abstract:

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

4.

The Impact of the Freedom of the Press on Risk

Number of pages: 36 Posted: 14 Aug 2018 Last Revised: 12 Dec 2018
Diogo Duarte, Yuri Saporito and Rodrigo Targino
Florida International University (FIU) - Department of Finance, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 96 (323,113)

Abstract:

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Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University
Downloads 59 (431,563)

Abstract:

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6.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University - Department of Statistics and Macquarie University
Downloads 75 (375,163)

Abstract:

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Multiple stopping rules, Operational risk, Insurance

7.

Avoiding Zero Probability Events When Computing Value at Risk Contributions: A Malliavin Calculus Approach

Number of pages: 14 Posted: 28 May 2020
Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 15 (648,634)

Abstract:

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Risk Management, Capital Allocation, Malliavin Calculus

8.

Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020)

Number of pages: 11 Posted: 03 May 2021
David Evangelista, Yuri Saporito and Rodrigo Targino
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 10 (685,517)

Abstract:

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Risco de portfólio, Contribuição marginal, Value-at-Risk, GARCH, Cópula, EVT