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Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Rodrigo S. Targino
G. Peters
P. Shevchenko
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Papers citing "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models"

3 / 3 papers shown
Title
An importance sampling approach for copula models in insurance
An importance sampling approach for copula models in insurance
Philipp Arbenz
Mathieu Cambou
Marius Hofert
35
2
0
17 Mar 2014
Bayesian State-Space Modelling on High-Performance Hardware Using LibBi
Bayesian State-Space Modelling on High-Performance Hardware Using LibBi
Lawrence M. Murray
63
112
0
14 Jun 2013
An introduction to particle integration methods: with applications to risk and insurance
An introduction to particle integration methods: with applications to risk and insurance
P. Del Moral
G. Peters
C. Vergé
85
7
0
14 Oct 2012