Rodrigo S. Targino : Citation Profile

4

H index

1

i10 index

44

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2013 - 2024). See details.
   Cites by year: 4
   Journals where Rodrigo S. Targino has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 4 (8.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta600
   Updated: 2025-12-13    RAS profile: 2024-06-09    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Rodrigo S. Targino.

Is cited by:

Chen, Cathy W. S. (1)

Chan, Jennifer (1)

Guéant, Olivier (1)

Cites to:

gourieroux, christian (5)

Scaillet, Olivier (5)

Roncalli, Thierry (4)

Artzner, Philippe (3)

Ghossoub, Mario (3)

Dhaene, Jan (2)

Okhrin, Ostap (2)

Patton, Andrew (2)

Creal, Drew (2)

Tauman, Yair (2)

Gollier, Christian (2)

Main data

Where Rodrigo S. Targino has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics3
Methodology and Computing in Applied Probability2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6

Recent works citing Rodrigo S. Targino (2025 and 2024)

YearTitle of citing document
2024Differential Quantile-Based Sensitivity in Discontinuous Models. (2024). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2310.06151.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

Full description at Econpapers || Download paper

2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2025Kullback-Leibler Barycentre of Stochastic Processes. (2025). Pesenti, Silvana M ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2407.04860.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025Robust Reinforcement Learning with Dynamic Distortion Risk Measures. (2025). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2409.10096.

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2024Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323.

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2025Robust and Efficient Deep Hedging via Linearized Objective Neural Network. (2025). Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17757.

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2025Marginal Fairness: Fair Decision-Making under Risk Measures. (2025). Pesenti, Silvana M ; Huang, Fei. In: Papers. RePEc:arx:papers:2505.18895.

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2024Risk Budgeting portfolios: Existence and computation. (2024). Guéant, Olivier ; Cetingoz, Adil Rengim ; Guant, Olivier ; Fermanian, Jeandavid. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2025Differential quantile-based sensitivity in discontinuous models. (2025). Millossovich, Pietro ; Pesenti, Silvana M ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:554-572.

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2024Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (2024). Xu, Ziqing ; Huang, Zhenzhen ; Kwok, Yue Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:132-150.

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2024Yet Another Discriminant Analysis (YADA): A Probabilistic Model for Machine Learning Applications. (2024). Field, Richard V ; Smith, Michael R ; Wuest, Ellery J ; Ingram, Joe B. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3392-:d:1510043.

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2025Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice. (2025). Centrone, Francesca ; Gianin, Emanuela Rosazza. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:6:p:964-:d:1612548.

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Works by Rodrigo S. Targino:

YearTitleTypeCited
2013Understanding Operational Risk Capital Approximations: First and Second Orders In: Papers.
[Full Text][Citation analysis]		paper8
2013Optimal insurance purchase strategies via optimal multiple stopping times In: Papers.
[Full Text][Citation analysis]		paper0
2015Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models In: Papers.
[Full Text][Citation analysis]		paper14
2015Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models.(2015) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2022Avoiding zero probability events when computing Value at Risk contributions In: Papers.
[Full Text][Citation analysis]		paper5
2022Avoiding zero probability events when computing Value at Risk contributions.(2022) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2023Risk Budgeting Portfolios from Simulations In: Papers.
[Full Text][Citation analysis]		paper2
2023Risk budgeting portfolios from simulations.(2023) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2024Risk Budgeting Allocation for Dynamic Risk Measures In: Papers.
[Full Text][Citation analysis]		paper5
2021A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES In: ASTIN Bulletin.
[Full Text][Citation analysis]		article0
2017Full Bayesian analysis of claims reserving uncertainty In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2020Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks In: Risks.
[Full Text][Citation analysis]		article3
2023Transform MCMC schemes for sampling intractable factor copula models In: Post-Print.
[Full Text][Citation analysis]		paper0
2023Transform MCMC Schemes for Sampling Intractable Factor Copula Models.(2023) In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Transform MCMC schemes for sampling intractable factor copula models In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article2

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