Browsing FGV EMAp - Escola de Matemática Aplicada by Author "Peters, Gareth W."

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    • Full Bayesian analysis of claims reserving uncertainty 

      Peters, Gareth W.; Targino, Rodrigo dos Santos; Wüthrich, Mario V.
      2017-01-05
      We 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 

      Targino, Rodrigo dos Santos; Peters, Gareth W.; Sofronov, Georgy; Shevchenko, Pavel V.
      2016-04-12
      In 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 ...