Publications

Cyril Benezet, Emmanuel Gobet, Rodrigo S. Targino (2023). Transform MCMC schemes for sampling intractable factor copula models. Methodology and Computing in Applied Probability.

Luiz Fernando G. N. Maia, Teemu Pennanen, Moacyr A. H. B. da Silva, Rodrigo S. Targino (2023). Stochastic modelling of football matches.

Bernardo Freitas Paulo da Costa, Silvana Pesenti, Rodrigo S. Targino (2023). Risk Budgeting Portfolios from Simulations. European Journal of Operational Research.

Sebastian Jaimungal, Silvana Pesenti, Yuri Saporito, Rodrigo S. Targino (2023). Risk Budgeting Allocation for Dynamic Risk Measures.

Helton Graziadei, Paulo C. Marques F., Eduardo F. L. de Melo, Rodrigo S. Targino (2023). Conformal prediction for frequency-severity modeling.

Takaaki Koike, Yuri F Saporito, Rodrigo S Targino (2022). Avoiding zero probability events when computing Value at Risk contributions. Insurance: Mathematics and Economics.

David Evangelista, Yuri F Saporito, Rodrigo S Targino (2021). Uma análise do risco de fundos de ações brasileiros em 2020.

Luis E Nieto-Barajas, Rodrigo S Targino (2021). A gamma moving average process for modelling dependence across development years in run-off triangles. ASTIN Bulletin: The Journal of the IAA.

Milan Merkle, Yuri F Saporito, Rodrigo S Targino (2020). Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods. Statistics & Probability Letters.

Diogo Duarte, Yuri F Saporito, Rodrigo S Targino (2018). The Impact of the Freedom of the Press on Risk.

Rodrigo S Targino (2017). Statistical Methods in Financial Risk Management.

Rodrigo S Targino, Gareth W Peters, Georgy Sofronov, Pavel V Shevchenko (2017). Optimal exercise strategies for operational risk insurance via multiple stopping times. Methodology and Computing in Applied Probability.

Gareth W Peters, Rodrigo S Targino, Mario V Wüthrich (2017). Full bayesian analysis of claims reserving uncertainty. Insurance: Mathematics and Economics.

Gareth W Peters, Rodrigo S Targino, Mario V Wüthrich (2017). Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks. Risks.

Rodrigo S Targino, Gareth W Peters, Pavel V Shevchenko (2015). Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. Insurance: Mathematics and Economics.

Gareth W Peters, Rodrigo S Targino, Pavel V Shevchenko (2013). Understanding operational risk capital approximations: first and second orders. The Journal of Governance and Regulation.

Rodrigo S Targino (2010). No-Arbitrage Theorems in Markets Driven by the Fractional Brownian Motion.