Rodrigo S. Targino

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Conformal prediction for frequency-severity modeling Journal of Applied Statistics	2026-08-25	Paper
Risk budgeting allocation for dynamic risk measures Operations Research	2025-07-17	Paper
Reverse-BSDE Monte Carlo (available as arXiv preprint)	2025-01-01	Paper
Risk budgeting portfolios from simulations European Journal of Operational Research	2023-09-15	Paper
Transform MCMC schemes for sampling intractable factor copula models Methodology and Computing in Applied Probability	2023-07-04	Paper
Avoiding zero probability events when computing value at risk contributions Insurance Mathematics & Economics	2022-09-14	Paper
A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ASTIN Bulletin	2021-10-20	Paper
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods Statistics & Probability Letters	2020-01-20	Paper
Full Bayesian analysis of claims reserving uncertainty Insurance Mathematics & Economics	2017-11-23	Paper
Optimal exercise strategies for operational risk insurance via multiple stopping times Methodology and Computing in Applied Probability	2017-08-14	Paper
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models Insurance Mathematics & Economics	2015-05-26	Paper

Research outcomes over time

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