Listagem por autor "Targino, Rodrigo dos Santos"
Itens para a visualização no momento 1-4 of 4
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Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
2017-12The 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 ... -
Big data no mercado de seguros de veículos: estudo de caso para a região metropolitana do Rio de Janeiro
2018-05Este trabalho tem o intuito de realizar uma análise estatística exploratória para o mercado de seguro de veículos do Rio de Janeiro dos anos de 2012 a 2016 utilizando as ferramentas que a linguagem R oferece para trabalhar ... -
Full Bayesian analysis of claims reserving uncertainty
2017-01-05We revisit the gamma–gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for the variance ... -
Optimal exercise strategies for operational risk insurance via multiple stopping times
2016-04-12In this paper we demonstrate how to develop analytic closed form solutions to optimal multiple stopping time problems arising in the setting in which the value function acts on a compound process that is modified by the ...
