33 citations · 33 across the 10 of their papers we have counts for
11 papers
A New Perspective on Reverse Diffusion for Monte Carlo Sampling
Jairon H. N. Batista, Flávio B. Gonçalves, Yuri F. Saporito +1
This paper introduces a novel perspective on the use of reverse diffusion processes for sampling from unnormalized densities. The central idea is to embed the target density as the…
Robust risk measures: an averaging approach
Marcelo Righi, Rodrigo Targino
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoff…
A Reverse-BSDE Diffusion Sampler
Jairon H. N. Batista, Flávio B. Gonçalves, Yuri F. Saporito +1
Diffusion-based generative models have renewed interest in stochastic differential equation methods for sampling from complex distributions. We study a setting in which the target…
Conformal prediction for frequency-severity modeling
Helton Graziadei, Paulo C. Marques F., Eduardo F. L. de Melo +1
We present a model-agnostic framework for the construction of prediction intervals of insurance claims, with finite sample statistical guarantees, extending the technique of split…
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…
Risk Budgeting Portfolios from Simulations
Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose an efficient numerical fr…
Avoiding zero probability events when computing Value at Risk contributions
Takaaki Koike, Yuri F. Saporito, Rodrigo S. Targino
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR). We recast the traditional E…
Modelling dependence within and across run-off triangles for claims reserving
Luis E. Nieto-Barajas, Rodrigo S. Targino
We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order …
Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Rodrigo S. Targino, Gareth W. Peters, Pavel V. Shevchenko
In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then,…
Optimal insurance purchase strategies via optimal multiple stopping times
Rodrigo S. Targino, Gareth W. Peters, Georgy Sofronov +1
In this paper we study a class of insurance products where the policy holder has the option to insure of its annual Operational Risk losses in a horizon of years. This invo…
Understanding Operational Risk Capital Approximations: First and Second Orders
Gareth W. Peters, Rodrigo S. Targino, Pavel V. Shevchenko
We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly…