Rodrigo S. Targino

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Prof. Dr. Gareth W. PetersDuncan Endowed Chair Actuarial & Professor of Statistics for Risk & InsuranceVerified email at ucsb.edu
Pavel V. ShevchenkoProfessor of Actuarial Studies, co-director of the Centre for Risk Analytics, Macquarie UniversityVerified email at mq.edu.au
Yuri SaporitoAssociate Professor, School of Applied Mathematics (EMAp), Fundação Getulio Vargas (FGV)Verified email at fgv.br
Silvana PesentiUniversity of TorontoVerified email at utoronto.ca
Georgy SofronovAssociate Professor, School of Mathematical and Physical Sciences, Macquarie University, SydneyVerified email at mq.edu.au
Sebastian JaimungalUniversity of TorontoVerified email at utoronto.ca
Bernardo Freitas Paulo da CostaUniversidade Federal do Rio de JaneiroVerified email at im.ufrj.br
Luis E. Nieto-BarajasFull Time Professor of Statistics, ITAMVerified email at itam.mx
Takaaki KoikeHitotsubashi UniversityVerified email at r.hit-u.ac.jp
Milan MerkleUniversity of Belgrade, SerbiaVerified email at etf.bg.ac.yu
Emmanuel GobetEcole PolytechniqueVerified email at polytechnique.edu
Pedro Costa FerreiraManager - Energy and Economic Analytics at EletrobrasVerified email at eletrobras.com
Orlando Fonseca GuilartePUC RioVerified email at mat.puc-rio.br
Diogo DuarteAssociate Professor of Finance, Florida International UniversityVerified email at fiu.edu
David EvangelistaPostdoctoral Researcher at Fundação Getúlio VargasVerified email at fgv.br
Helton GraziadeiSchool of Applied Mathematics, Getulio Vargas Foundation (EMAp/FGV)Verified email at fgv.br
Teemu PennanenProfessor of Financial Mathematics, King's College LondonVerified email at kcl.ac.uk
Cyril BénézetMaître de Conférences (Assistant Professor), ENSIIE, LaMMEVerified email at ensiie.fr

Rodrigo S. Targino

Assistant Professor, EMAp/FGV

Verified email at fgv.br - Homepage

Mathematical Finance Risk Management Bayesian Statistics Monte Carlo Methods


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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models RS Targino, GW Peters, PV Shevchenko Insurance: Mathematics and Economics 61, 206-226, 2015	43	2015
Understanding operational risk capital approximations: First and second orders GW Peters, RS Targino, PV Shevchenko The Journal of Governance and Regulation 2 (3), 2013	22	2013
Optimal exercise strategies for operational risk insurance via multiple stopping times RS Targino, GW Peters, G Sofronov, PV Shevchenko Methodology and Computing in Applied Probability 19, 487-518, 2017	21*	2017
Full bayesian analysis of claims reserving uncertainty GW Peters, RS Targino, MV Wüthrich Insurance: Mathematics and Economics 73, 41-53, 2017	15	2017
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks GW Peters, RS Targino, MV Wüthrich Risks 5 (4), 53, 2017	10	2017
Risk budgeting portfolios from simulations BFP da Costa, SM Pesenti, RS Targino European Journal of Operational Research 311 (3), 1040-1056, 2023	9	2023
Avoiding zero probability events when computing Value at Risk contributions T Koike, Y Saporito, R Targino Insurance: Mathematics and Economics 106, 173-192, 2022	8*	2022
Risk Budgeting Allocation for Dynamic Risk Measures SM Pesenti, S Jaimungal, YF Saporito, RS Targino Operations Research, 2024	5	2024
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods M Merkle, YF Saporito, RS Targino Statistics & Probability Letters 156, 108600, 2020	4	2020
A Gamma Moving Average Process For Modelling Dependence Across Development Years In Run-Off Triangles LE Nieto-Barajas, RS Targino ASTIN Bulletin: The Journal of the IAA 51 (1), 245-266, 2021	3*	2021
Big data no mercado de seguros de veículos: estudo de caso para a região metropolitana do Rio de Janeiro OF Guilarte, RS Targino, PGC Ferreira	1	2018
Stochastic modelling of football matches LFGN Maia, T Pennanen, MAHB da Silva, RS Targino arXiv preprint arXiv:2312.04338, 2023		2023
Conformal prediction for frequency-severity modeling H Graziadei, PC Marques F., EFL de Melo, RS Targino arXiv preprint arXiv:2307.13124, 2023		2023
Transform MCMC schemes for sampling intractable factor copula models C Bénézet, E Gobet, R Targino Methodology and Computing in Applied Probability 25 (1), 13, 2023		2023
Uma análise do risco de fundos de ações brasileiros em 2020 (An Analysis of the Risk of Brazilian Equity Funds in 2020) D Evangelista, Y Saporito, R Targino Available at SSRN 3825680, 2021		2021
Sampling scheme for intractable copula function, application to the computation of tail events in factor copula model C Bénézet, E Gobet, R Targino INFORMS Annual Meeting, 2020		2020
The Impact of the Freedom of the Press on Risk D Duarte, Y Saporito, R Targino Available at SSRN 3218754, 2018		2018
Teoremas de Nao-Arbitragem em Mercados Regidos pelo Movimento Browniano Fracionário R dos Santos Targino		2010

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