15 citations · 15 across the 1 of their papers we have counts for
3 papers
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation app…
Dynamic operational risk: modeling dependence and combining different sources of information
Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation…
On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
G. W. Peters, Y. Fan, S. A. Sisson
We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm, and show that this variant can be considered as a sequential Monte Carlo sampler wit…