Matemàtica Econòmica, Financera i Actuarial: Enviaments recents
Ara mostrant els elements 21-40 de 365
An alternative proof of the characterization of core stability for the assignment game
Solymosi and Raghavan (2001), characterize the stability of the core of the assignment game by means of a property of the valuation matrix. They show that the core of an assignment game is a von Neumann-Morgenstern stable ...
Role of Private Long-Term Care Insurance in Financial Sustainability for an Aging Society
This work analyzes and quantifies the significance of private long-term care insurance for the elderly in protecting families from the increased expenses derived from dependency. We propose an economic and financial model ...
Global and local distance-based generalized linear models
This paper introduces local distance-based generalized linear models. These models extend (weighted) distance-based linear models first to the generalized linear model framework. Then, a nonparametric version of these ...
SutteARIMA: A Novel Method for Forecasting the Infant Mortality Rate in Indonesia
This study focuses on the novel forecasting method (SutteARIMA) and its application in predicting Infant Mortality Rate data in Indonesia. It undertakes a comparison of the most popular and widely used four forecasting ...
Fintech y la transformación de los servicios financieros utilizando robo-advising: una revisión a la literatura
Este artículo pretende cumplir con dos objetivos: el primero es realizar una revisión a la literatura relacionada con las plataformas de robo advisor, clasificando los distintos estudios que se han realizado para tener una ...
Cooperative assignment games with the inverse Monge property
We study inverse-Monge assignment games, namely cooperative assignment games in which the assignment matrix satisfies the inverse-Monge property. For square inverse-Monge assignment games, we describe their cores and we ...
Commitment vs. noncommitment behaviors in natural resource conflicts: A case study of groundwater resources
We examine the problem of natural resource exploitation when an exceptional extraction of a resource (groundwater) is needed and devoted to a different use than its regular use. The study applies a two-stage Stackelberg ...
Simulación de Monte Carlo aplicada a un modelo interno para calcular el riesgo de mortalidad en Solvencia II.
El 1 de enero de 2016 entró en vigor Solvencia II, que establece un nuevo marco regulador común para el sector asegurador que opera en la Unión Europea. En esta normativa tiene especial importancia el cálculo del capital ...
Optimal stop-loss reinsurance: a dependence analysis
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the ...
Los grupos GEI como experiencia docente orientada a estudiantes repetidores: el caso de Matemáticas I en Economía.
En este trabajo estudiamos las mejoras introducidas en los Grupos de Estudios de Intensificación (grupos GEI) durante el curso académico 2012-2013. La introducción de estos grupos ha sido una apuesta de la Facultat d"Economia ...
The value of perfect information for the problem: a sensitivity analysis
This paper examines problems in decision theory where the number of alternatives and states of nature are finite. Previous studies have defined the concept of “the value of perfect information for the problem” (VPIP). This ...
Computing Bonus-Malus premiums under partial prior information
The use of classical bonus–malus systems entails very high maluses and other problems which, during recent years, have been criticised by actuaries. To avoid these problems, new bonus–malus models have been developed. For ...
A priori ratemaking using bivariate Poisson regression models
In automobile insurance, it is useful to achieve a priori ratemaking by resorting to generalized linear models, and here the Poisson regression model constitutes the most widely accepted basis. However, insurance companies ...
A note on assignment games with the same nucleolus
We show that the family of assignment matrices which give rise to the same nucleolus forms a compact join-semilattice with one maximal element. The above family is in general not a convex set, but path-connected.
Graphs and (levels of) cooperation in games: Two ways how to allocate the surplus
We analyze surplus allocation problems where cooperation between agents is restricted both by a communication graph and by a sequence of embedded partitions of the agent set. For this type of problem, we define and ...
Large elections and interim turnout
We examine the effect of the interim release of turnout information on elections in a model of a large electorate with a common voting cost, private values, and two alternatives. We consider that (i) one group of citizens ...
Vertical syndication-proof competitive prices in multilateral assignment markets
We consider a market comprising a number of perfectly complementary and homogeneous commodities. We concentrate on the incentives for firms producing these commodities to merge and form a vertical syndicate. The main result ...
CVA with wrong-way risk and correlation between defaults: An application to an interest rate swap
This paper presents a counterparty credit risk adjustment model to value overthe-counter financial derivatives. To do so, a bilateral credit valuation adjustment with wrong-way risk (WWR) and dependency between the defaults ...
Facing a Risk: To Insure or Not to Insure¿An Analysis with the Constant Relative Risk Aversion Utility Function
The decision to transfer or share an insurable risk is critical for the decision maker’s economy. This paper deals with this decision, starting with the definition of a function that represents the difference between the ...
Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance
Markov chains (MCs) are widely used to model a great deal of financial and actuarial problems. Likewise, they are also used in many other fields ranging from economics, management, agricultural sciences, engineering or ...
