Quantitative Methods for Insurance and Finance

Constructive Regression on Implicit Regions, J. Kubrusly, H. Lopes, Advances and Applications in Statistics 45(3), pp. 201-223 (2015).

Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR framework, L. Vereda, H. Lopes, J. Kubrusly, A. Pizzinga, Journal of Reviews on Global Economics 3, pp 377-393 (2014)

A non-parametric method for incurred but not reported claim reserve estimation, H. Lopes, J. Barcellos, J. Kubrusly, C. Fernandes, International Journal for Uncertainty Quantification 2(1), pp. 39-51 (2012)

A new tree based regression scheme with application to yield curve forecasting, J. Kubrusly, H. Lopes, L. Vereda. 4th Brazilian Conference on Statistical Modelling in Insurance and Finance: (2009)

A hybrid Chain Ladder and Gaussian Process Regression method for IBNR estimation, J. Kubrusly, M. Dias, H. Lopes, M. Lage: 4th Brazilian Conference on Statistical Modelling in Insurance and Finance: (2009)

Coeficientes aleatórios de equações diferenciais ordinárias lineares. B. Pagniocelli, C. F. B. Palmeira, H. Lopes, Matemática Universitária 45, p. 44-50 (2008)

Estimating VAR models for the term structure of interest rates, L. Vereda, H. Lopes, R. Fukuda. Insurance: Mathematics and Economics 42(2), pp. 548-559 (2008)

Introdução à simulação estocástica para atuária e financas usando R, H. Lopes, A. C. Frery, L. Vereda, Book on the series Notas de Matemática Aplicada e Computacional da SBMAC 33: 75 p (2008)

Um método probabilístico para cálculo de reservas do tipo IBNR, J. Kubrusly, H. Lopes, A. Veiga, Revista Brasileira de Risco e Seguro 4(7), pp. 17-46 (2008)

Forecasting the term structure of interest rates by the use of Support Vector Regression, M. Dias, H. Lopes, L. Vereda, 3rd Brazilian Conference on Statistical Modeling in Insurance and Finance: (2007)

Simple interval estimation for IBNR reserves, V. Lopes, H. Lopes, A. Veiga, J. Kubrusly, 2nd Brazilian Conference on Statistical Modelling in Insurance and Finance: (2005)

Yet another IBNR estimator, J. Kubrusly, H. Lopes, A. Veiga, 2nd Brazilian Conference on Statistical Modelling in Insurance and Finance: (2005)

Dealing with uncertanty in efficient frontier construction by the use of interval arithmetic, L. Vereda, D. U. Pesco, S. Pesco, H. Lopes, 2nd Brazilian Conference on Statistical Modelling in Insurance and Finance: (2005)

e-mail: lopes at inf dot puc-rio dot br
Tel: 55+21+3527-1500 R:4350  Fax: 55+21+3527-1530
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio) - Departamento de Informática - Sala 408 RDC
Rua Marquês de São Vicente 225, Gávea, Rio de Janeiro, RJ, Brazil, CEP 22451-900