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UAB Digital Repository of Documents 32 records found  beginprevious17 - 26next  jump to record: Search took 0.00 seconds. 
17.
1 p, 26.4 KB Editor's Report 2014 / Guillén, Montserrat (Universitat de Barcelona)
2014
SORT : statistics and operations research transactions, Vol. 38, Núm. 1 (January-June 2014) , p. 1-1  
Detailed record - Creative Commons
18.
39 p, 419.2 KB Prevalence of alcohol-impaired drivers based on random breath tests in a roadside survey / Alcañiz, Manuela (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Santolino, Miguel (Universitat de Barcelona. Departament d'Econometria) ; Sánchez-Moscona, Daniel (Universitat de Barcelona. Departament d'Econometria) ; Llatje, Oscar (Universitat de Barcelona. Departament d'Econometria) ; Lluís, Ramon (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
Sobriety checkpoints are not usually randomly located by traffic authorities. As such, information provided by non-random alcohol tests cannot be used to infer the characteristics of the general driving population. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2013 (XREAP ; 2013-05)  
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19.
40 p, 347.8 KB Nonparametric estimation of Value-at-Risk / Alemany Leira, Ramon (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-19)  
Detailed record - Creative Commons
20.
29 p, 368.8 KB Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance / D'Amico, Guglielmo (Università "G. D'Annunzio". Dipartimento di Scienze del Farmaco) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Manca, Raimondo (Sapienza Universita di Roma. Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza) ; Xarxa de Referència en Economia Aplicada (XREAP)
In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-05)  
Detailed record - Creative Commons
21.
30 p, 154.2 KB How to use the standard model with own data? / Ferri Vidal, Antoni ; Bermúdez, Lluís ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-03)  
Detailed record - Creative Commons
22.
26 p, 271.9 KB Solvency Capital estimation and Risk Measures / Ferri Vidal, Antoni (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Bermúdez, Lluís (Universitat de Barcelona. Departament de Matemàtica Financera i Actuarial) ; Xarxa de Referència en Economia Aplicada (XREAP)
This paper examines why a financial entity's solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-02)  
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23.
39 p, 183.4 KB A logistic regression approach to estimating customer profit loss due to lapses in insurance / Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Pérez-Marín, Ana M.. (Universitat de Barcelona. Departament d'Econometria) ; Alcañiz, Manuela (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2011 (XREAP ; 2011-13)  
Detailed record - Creative Commons
24.
30 p, 280.5 KB A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation / Bermúdez, Lluís (Universitat de Barcelona. Departament de Matemàtica Financera i Actuarial) ; Ferri Vidal, Antoni (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2011 (XREAP ; 2011-12)  
Detailed record - Creative Commons
25.
27 p, 154.8 KB Loss risk through fraud in car insurance / Ayuso, Mercedes (Universitat de Barcelona) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2011 (XREAP ; 2011-08)  
Detailed record - Creative Commons
26.
31 p, 390.7 KB How much risk is mitigated by LTC Insurance? A case study of the public system in Spain / Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Comas-Herrera, Adelina (London School of Economics) ; Xarxa de Referència en Economia Aplicada (XREAP)
We present a methodology that allows to calculate the impact of a given Long-Term Care (LTC) insurance protection system on the risk of incurring extremely large individual lifetime costs. Our proposed methodology is illustrated with a case study. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2011 (XREAP 2011-07 ;)  
Detailed record - Creative Commons

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