Matemàtica Econòmica, Financera i Actuarial: Recent submissions
Now showing items 41-60 of 366
Impact of value-at-risk models on market stability
Financial institutions around the world use value-at-risk (VaR) models to manage their market risk and calculate their capital requirements under Basel Accords. VaR models, as any other risk management system, are meant ...
Partially Schur-constant models
In this paper, we introduce a new multivariate dependence model that generalizes the standard Schur-constant model. The difference is that the random vector considered is partially exchangeable, instead of exchangeable, ...
Factores explicativos de la deserción de estudiantes de pedagogía
El objetivo del artículo es identificar los factores que influyen en la deserción de estudiantes de pedagogía, considerando sus características individuales y académicas. El estudio se realizó con 531 estudiantes de la ...
Factors influencing policyholders’ acceptance of life settlements: a technology acceptance model
The most significant market for life settlements (LSs) is the U.S. LSs are not present in some European countries, such as Spain, and can therefore be seen as a novel and innovative financial service in those countries. ...
Modalidades alternativas de reaseguro basados en la ordenación de riesgos
En este trabajo se estudian tres modalidades de reaseguro basadas en el número de siniestros: Reaseguro de los siniestros más grandes. Modalidad por la cual el reasegurador se hace cargo de los siniestros más grandes. ...
On the nucleolus of 2 x 2 assignment games
We provide explicit formulas for the nucleolus of an arbitrary assignment game with two buyers and two sellers. Five different cases are analyzed depending on the entries of the assignment matrix. We extend the results to ...
Externalities and the (Pre)nucleolus in Cooperative Games
In most economic applications of cooperative games, externalities prevail: the worth of a coalition depends on how the other players are organized. We show that there is a unique natural way of extending the prenucleolus ...
Evaluation of transversal competencies: pilot project in a maths course for first-year business
The aim of this communication is to describe the results of a pilot project for the assessment of the transversal competency "the capacity for learning and responsibility". This competency is centred on the capacity for ...
Constrained welfare egalitarianism in surplus-sharing problems
The constrained equal welfare rule, f CE , distributes the surplus according to the uniform gains method and, hence, equalizes the welfare of the agents subsequent to the allocation process, subject to making nobody worse ...
Basis risk management and randomly scaled uncertainty
This paper proposes a method for quantifying the basis risk present in index-based insurance. It applies when the inherent uncertainty is represented by a randomly scaled variable. This turns out to be a reasonable assumption ...
The expected value of perfect information in unrepeatable decision-making
This paper reflects on the concept of the 'Expected Value of Perfect Information' (EVPI) and the procedure used to determine it. It is widely accepted that this value is the difference between the expected value when we ...
Life settlement pricing with fuzzy parameters
Existing literature asserts that the growth of life settlement (LS) markets, where they exist, is hampered by limited policyholder participation and suggests that to foster this growth appropriate pricing of LS transactions ...
The bargaining set for almost-convex games
We generalize the well-known result of the coincidence of the bargaining set and the core for convex games (Maschler et al., 1972) to the class of games named almost-convex games, that is, coalitional games where all proper ...
A time consistent dynamic bargaining procedure in differential games with heterogeneous discounting
We study cooperative solutions for differential games where players consume a common property resource. Players are asymmetric, in the sense that they have different preferences and, in particular, different time preferences. ...
Strategic investment decisions under the nuclear power debate in Belgium
In view of the current nuclear power debate in Belgium, we analyze how uncertainty about a nuclear phase-out, coupled with the implementation of renewable energy subsidies and nuclear taxes, affects investment capacity and ...
Valuation monotonicity, fairness and stability in assignment problems
In two-sided assignment markets with transferable utility, we first introduce two weak monotonicity properties that are compatible with stability. We show that for a fixed population, the sellers-optimal (respectively the ...
La veritat és la realitat de les coses
És un honor impartir la lliçó inaugural de curs. Agraeixo a la Junta de la SCF l"encàrrec. Vaig assumir-lo de grat, entre d"altres raons i principalment, perquè se m"oferia l"oportunitat de retrobar bons amics i amigues i ...
A note on the relationship between the core and stable sets in three-sided markets
We analyze the extent to which two known results of the relationship between the core and the stable sets for two-sided assignment games can be extended to three-sided assignment games. We find that the dominant diagonal ...
Modal Interval Probability: Application to Bonus-Malus Systems
Classical intervals have been a very useful tool to analyze uncertain and imprecise models, in spite of operative and interpretative shortcomings. The recent introduction of modal intervals helps to overcome those limitations. ...
Population Lorenz-monotonic allocation schemes for TU-games
Sprumont (Games Econ Behav 2:378–394, 1990) introduces population monotonic allocation schemes (PMAS) and proves that every assignment game with at least two sellers and two buyers, where each buyer-seller pair derives a ...
