Matemàtica Econòmica, Financera i Actuarial: Recent submissions
Now showing items 1-20 of 365
Merging-splitting-proofness in financial systems: A characterization result
In this paper, we explore the issue of manipulability in the setting of financial systems by considering two weak forms of immunity: merging-proofness and splitting-proofness. Not surprisingly, splitting-proofness conflicts ...
Do we need a (large) committee?
This paper studies committee design when a homogeneous population is uncertain about which alternative is correct, individuals can acquire costly information about the state of the world, and the decision must be taken via ...
Claims manipulations discriminate between egalitarian rules
We provide axiomatic characterizations of the constrained equal awards and constrainedequal losses rules by imposing immunity principles such as non-manipulability via merging(splitting) and strong non-manipulability via ...
Egalitarian-in-deviation rules relative to a reference system for resolving conflicting claim problems
We study claims problems in which agents may also have reference points. We show first that many classical rules satisfy an egalitarian property in this setting; namely, the differences between each agents’ payoff and the ...
LOSARI: A novel R-based statistical software to facilitate students’ self-regulated learning in statistics courses
This article presents the development of LOSARI, a novel R-based statistical software designed to facilitate students’ self-regulated learning (SRL) in statistics courses. LOSARI can be accessed online without installation ...
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices
We study the local sensitivity of heating degree day (HDD) and cooling degree day (CDD) temper-ature futures and option prices with respect to perturbations in the deseasonalized temperature or inone of its derivatives up ...
Transforming Eurostat’s Table 29 into an Actuarial Balance Sheet: A Net Worth Approach to Assessing Public Pension Solvency
This article presents a transparent and replicable framework to assess the net worth of public pension systems within the broader context of fiscal sustainability and public sector balance sheets. Using Spain as a case ...
Matching markets with farsighted couples
We adopt the notion of the farsighted stable set to determine which matchings are stable when agents are farsighted in matching markets with couples. We show that a singleton matching is a farsighted stable set if and only ...
provisio: Área de trabajo en lenguaje R para el cálculo de provisiones técnicas en seguros no de vida con métodos deterministas
Requerimientos técnicos: Tener instalado el software R (cualquier versión) y cargar el área de trabajo.
A defined benefit pension plan model with stochastic salary and heterogeneous discounting
We study the time-consistent investment and contribution policies in a defined benefit stochastic pension fund where the manager discounts the instantaneous utility over a finite planning horizon and the final function at ...
Lanchester duopoly model revisited: advertising competition under time inconsistent preferences
In this paper, we study a finite time horizon advertising dynamic game under the assumption of time-inconsistent preferences. Specifically, we consider two types of discounting, heterogeneous discounting and hyperbolic ...
Multivariate INAR(1) Regression Models Based on the Sarmanov Distribution.
A multivariate INAR(1) regression model based on the Sarmanov distribution is proposed for modelling claim counts from an automobile insurance contract with different types of coverage. The correlation between claims from ...
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 ...
Appointed learning for the common good: Optimal committee size and monetary transfers
A population of identical individuals must choose one of two alternatives under uncertainty about the state of the world. Individuals can acquire different levels of costly information and complete contracts are not feasible. ...
Evaluación de las tarifas de las pensiones de accidentes de trabajo y enfermedades profesionales (2011-2015)
Este trabajo analiza si las tarifas que se aplican para la determinación del denominado capital coste de pensiones derivadas de los accidentes de trabajo y enfermedades profesionales son las adecuadas. A partir de los datos ...
Competition between different groundwater uses under water scarcity
We study groundwater management under a regime shock affecting water availability, using a dynamic common-property resource game. The different players correspond to different groundwater uses (irrigation or urban water ...
Effectively Tackling Reinsurance Problems by Using Evolutionary and Swarm Intelligence Algorithms
This paper is focused on solving different hard optimization problems that arise in the field of insurance and, more specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered ...
A bargaining set for roommate problems
Since stable matchings may not exist, we propose a weaker notion of stability based on the credibility of blocking pairs. We adopt the weak stability notion of Klijn and Massó (2003) for the marriage problem and we extend ...
Queueing games with an endogenous number of machines
We study queueing problems with an endogenous number of machines, the novelty being that coalitions not only choose how to queue, but on how many machines. After minimizing the processing costs and machine costs, we share ...
Reaseguro Stop-Loss en el SCR del riesgo de suscripción de vida
El objetivo de este trabajo es analizar el efecto que tiene la modalidad de reaseguro no proporcional stop-loss en el capital de solvencia obligatorio del módulo de riesgo de suscripción del seguro de vida de una compañía ...
