6 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…
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 …
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…