Matemàtica Econòmica, Financera i Actuarial: Envíos recientes
Mostrando ítems 21-40 de 365
A Coalitional Great Fish War Model with Quasi-Hyperbolic Discounting
This paper studies the coalitional great fish war model in a setting with βδ-preferences (or quasi-hyperbolic discounting). We derive the equilibrium strategies and payoffs in this coalition game under non-cooperation, ...
Axiomatizations of Dutta-Ray's egalitarian solution on the domain of convex games
We show that on the domain of convex games, Dutta-Ray's egalitarian solution is characterized by core selection, aggregate monotonicity, and bounded richness, a new property requiring that the poorest players cannot be ...
An Extension of Interval Probabilities using Modal Interval Theory and its Application to Non-life Insurance
In this paper we apply the modal interval theory to the actuarial field to study the analysis and control of solvency in non-life insurance portfolios. The advantages of modal intervals over classical intervals are the ...
Consistency, weak fairness and the Shapley value
The Shapley value (Shapley, 1953) has been axiomatically characterized from different points of view. van den Brink (2001) proposes a characterization by means of efficiency, fairness and the null player property. In this ...
SCR en el riesgo de suscripción del seguro de vida: mortalidad, longevidad y reaseguro
En este trabajo se propone un modelo interno basado en la simulación de Monte Carlo, para el cálculo del capital de solvencia obligatorio del riesgo de suscripción de vida, de una compañía de seguros que presenta dos ...
Assortative multisided assignment games. The extreme core points [WP]
We analyze assortative multisided assignment games, following Sherstyuk (1999) and Martínez-de-Albéniz et al. (2019). In them players’ abilities are complementary across types (i.e. supermodular), and also the output of ...
Core allocations in Co-investment problems
In a co-investment problem a set of agents face a surplus-sharing situation with a single input and a single output exhibiting increasing average returns. All agents contribute their respective inputs and expect part of ...
Deciding the sale of a life policy in the viatical market: Implications on individual welfare
[cat] En aquest article, es presenta un model econòmic que permet determinar la venda o no d'una pòlissa de vida (total o en part) per part d'un assegurat malalt terminal en el mercat dels viatical settlements. Aquest ...
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 ...
Economic indicators for automobile claim frequencies
This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify 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 ...
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 ...
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 ...
Monge assignment games
Un juego de asignación se define por una matriz A; donde cada fila representa un comprador y cada columna un vendedor. Si el comprador i se empareja a un vendedor j; el mercado produce aij unidades de utilidad. Estudiamos ...
Reverse mortgage and financial sustainability
This paper analyzes the effects that contracting a reverse mortgage has on the finances of families of a country or group whose members who aged 65 or older are the sole owners of the 100% of the property, regardless of ...
A theoretical and practical study on linear reforms of dual taxes
[cat] En aquest treball extenem les reformes lineals introduïdes per Pfähler (1984) al cas d’impostos duals. Estudiem l’efecte relatiu que els retalls lineals duals d’un impost dual tenen sobre la distribució de la desigualtat ...
On the coincidence between the Shimomura's bargaining sets and the core
[cat] En l'article es dona una condició necessària per a que els conjunts de negociació definits per Shimomura (1997) i el nucli d'un joc cooperatiu amb utilitat transferible coincideixin. A tal efecte, s'introdueix el ...
A note on the coincidence between Stackelberg and Nash equilibria in a differential game between government and firms
[cat] A Navas i Marín Solano es va demostrar la coincidència entre els equilibris de Nash i de Stackelberg per a una versi´o modificada del joc diferencial proposat por Lancaster (1973). Amb l’objectiu d’obtenir una ...
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 ...
Influencia de la variable aleatoria implícita en la fórmula estándar en el cálculo del SCR del riesgo de suscripción no vida
El requerimiento de capital de solvencia del riesgo de primas y reservas no vida bajo el enfoque del modelo estándar viene determinada por la fórmula especificada en el último estudio de impacto cuantitativo. Dicha fórmula ...
