Details about Rodrigo S. Targino

Access statistics for papers by Rodrigo S. Targino.

Last updated 2024-06-09. Update your information in the RePEc Author Service.

Short-id: pta600

Working Papers

2024

1. Risk Budgeting Allocation for Dynamic Risk Measures
   Papers, arXiv.org View citations (3)

2023

2. Risk Budgeting Portfolios from Simulations
   Papers, arXiv.org View citations (2)
   See also Journal Article Risk budgeting portfolios from simulations, European Journal of Operational Research, Elsevier (2023) View citations (2) (2023)
3. Transform MCMC schemes for sampling intractable factor copula models
   Post-Print, HAL
   See also Journal Article Transform MCMC Schemes for Sampling Intractable Factor Copula Models, Methodology and Computing in Applied Probability, Springer (2023) (2023)

2022

4. Avoiding zero probability events when computing Value at Risk contributions
   Papers, arXiv.org View citations (4)
   See also Journal Article Avoiding zero probability events when computing Value at Risk contributions, Insurance: Mathematics and Economics, Elsevier (2022) View citations (3) (2022)

2015

5. Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
   Papers, arXiv.org View citations (17)
   See also Journal Article Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models, Insurance: Mathematics and Economics, Elsevier (2015) View citations (17) (2015)

2013

6. Optimal insurance purchase strategies via optimal multiple stopping times
   Papers, arXiv.org
7. Understanding Operational Risk Capital Approximations: First and Second Orders
   Papers, arXiv.org View citations (9)

Journal Articles

2023

1. Risk budgeting portfolios from simulations
   European Journal of Operational Research, 2023, 311, (3), 1040-1056 View citations (2)
   See also Working Paper Risk Budgeting Portfolios from Simulations, Papers (2023) View citations (2) (2023)
2. Transform MCMC Schemes for Sampling Intractable Factor Copula Models
   Methodology and Computing in Applied Probability, 2023, 25, (1), 1-41
   See also Working Paper Transform MCMC schemes for sampling intractable factor copula models, Post-Print (2023) (2023)

2022

3. Avoiding zero probability events when computing Value at Risk contributions
   Insurance: Mathematics and Economics, 2022, 106, (C), 173-192 View citations (3)
   See also Working Paper Avoiding zero probability events when computing Value at Risk contributions, Papers (2022) View citations (4) (2022)

2021

4. A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
   ASTIN Bulletin, 2021, 51, (1), 245-266

2020

5. Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
   Statistics & Probability Letters, 2020, 156, (C) View citations (1)

2017

6. Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
   Risks, 2017, 5, (4), 1-51 View citations (4)
7. Full Bayesian analysis of claims reserving uncertainty
   Insurance: Mathematics and Economics, 2017, 73, (C), 41-53 View citations (5)
8. Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times
   Methodology and Computing in Applied Probability, 2017, 19, (2), 487-518 View citations (2)

2015

9. Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
   Insurance: Mathematics and Economics, 2015, 61, (C), 206-226 View citations (17)
   See also Working Paper Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models, Papers (2015) View citations (17) (2015)