Search Results - "Melo, Eduardo F. L."

Forecasting aggregate claims using score‐driven time series models by Melo, Mariana Arozo B., Fernandes, Cristiano A. C., Melo, Eduardo F. L.

“…In the insurance industry, premium estimation and ruin probability valuation depend fundamentally on the aggregate claims distribution. From the mathematical…”
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Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction by Barbedo, Claudio H.S., de Melo, Eduardo F.L.

“…► We combine macroeconomic factors and an arbitrage-free model of bond yields to explain the behavior of dollar interest rates traded in Brazil. ► We relax Ang…”
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Robust Fits for Copula Models by Mendes, Beatriz V. M., de Melo, Eduardo F. L., Nelsen, Roger B.

“…In this article, we obtain robust estimators for copula parameters through the minimization of weighted goodness-of-fit statistics. Different weight functions…”
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A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes by Franklin Jr, Sergio L., Duarte, Thiago B., Neves, César R., Melo, Eduardo F. L.

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Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas by de Melo, Eduardo F. L., Mendes, Beatriz V. M.

“…Pension plans and life insurances offering minimum performance guarantees are very common worldwide. In the Brazilian market, the customers of a common type of…”
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Myopic Loss Aversion in Brazilian Open Retirement Funds by de Melo, Eduardo F. L., Carvalhal da Silva, Andre L.

“…This paper analyzes the relationship between withdrawals from Brazilian open retirement funds, portfolio composition (fixed income or equity) and frequency of…”
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A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes by Franklin Jr, Sergio L., Duarte, Thiago B., Neves, César R., Melo, Eduardo F. L.

“…Neste artigo, propomos uma metodologia para a construção da estrutura a termo da taxa de juros livre de risco no Brasil, usando o modelo de Svensson para…”
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Local Estimation of Copula Based Value-at-Risk by Beatriz Vaz de Melo Mendes, Eduardo F. L. de Melo

“…In this paper we propose the local maximum likelihood method for dynamically estimate copula parameters. We study the estimates statistical properties and…”
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Conformal prediction for frequency-severity modeling by Graziadei, Helton, F, Paulo C. Marques, de Melo, Eduardo F. L, Targino, Rodrigo S

“…We present a model-agnostic framework for the construction of prediction intervals of insurance claims, with finite sample statistical guarantees, extending…”
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A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes by Sergio L. Franklin Jr, Thiago B. Duarte, César R. Neves, Eduardo F. L. Melo

“…Neste artigo, propomos uma metodologia para a construção da estrutura a termo da taxa de juros livre de risco no Brasil, usando o modelo de Svensson para…”
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A estrutura a termo de taxas de juros no Brasil: modelos, estimac?o e testes by Franklin, Sergio L, Duarte, Thiago B, Neves, César R, Melo, Eduardo F L

“…In this paper, we propose a methodology for the construction of the risk-free interest rate term structure in Brazil, using the Svensson model for…”
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Estimação Local de Valor em Risco Baseado em Cópulas by De Melo, Eduardo F. L., Mendes, Beatriz Vaz de Melo

“…Neste artigo, nós propomos o método de máxima verossimilhança local para estimar parâmetros de cópulas dinamicamente. Nós estudamos as propriedades de…”
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