Universitat de Barcelona
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Política d’accés obert a la UB
Publicacions en accés obert derivades de l'activitat investigadora del professorat de la Universitat de Barcelona.
We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is ...
We analyze an investment strategy for an investor with a savings plan for retirement consisting on constraining the terminal wealth accumulated after the savings period by setting an upper and lower bound. We carry out a ...
Los accidentes domésticos y de ocio son una de las principales causas de mortalidad por causa diferente al envejecimiento, y tienen un elevado impacto en los sistemas de salud. Sin embargo, hasta la fecha, ...
El propósito de éste trabajo, es presentar una forma de cuantificar el valor en riesgo de una cartera de activos mediante dos medidas de riesgo ampliamente conocidas como lo son el VaR y el TVaR. Para ello, utilizamos ...
This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with non-parametric methods. The methods ...
Health expectancies vary worldwide according to socioeconomic status (SES). The lower SES usually show health disadvantage and the higher SES a health advantage compared to the average. The educational level of individuals ...
We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses Generalized Dynamic Factor Models fitted over the differences of the log-mortality rates. We compare ...
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk ...
We design a system for improving the calculation of the price to be charged for an insurance product. Standard pricing techniques generally take into account the expected severity of potential losses. However, the severity ...
Home and leisure accidents are one of the main causes of mortality due to other causes than aging, and have a high impact on health systems. However, to date, the number of studies associated with measuring ...
Reaching advanced old age is more common now than ever. The sustained growth in longevity raises questions about why some people can feel in good quality of life until the last stages, while others seem to accuse the natural ...
We show how data collected from a GPS device can be incorporated in motor insurance ratemaking. The calculation of premium rates based upon driver behaviour represents an opportunity for the insurance sector. Our approach ...
El objetivo de este trabajo es desarrollar metodológicamente un modelo actuarial de múltiples estados que permita probabilizar la transición entre los estados civiles casado-viudo para individuos de una determinada edad ...
In many important settings, subjects can show signi cant heterogeneity in response to a stimulus or treatment". For instance, a treatment that works for the overall population might be highly ine ective, or even harmful, ...
We study longevity and usage of medical resources of a sample of individuals aged 65 years or more who are covered by a private insurance policy. A longitudinal analysis is presented, where the yearly cumulative number of ...
This paper presents empirical evidence on the interrelationship that exists between the evolution of the Emerging Markets Bonds Index (EMBI) and some macroeconomic variables in seven Latin American countries; two of them ...
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this ...
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may ...
This paper contributes to the literature by applying the Granger causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) ...
In this paper we investigate the dynamics of European government bond market integration during the financial crisis and, subsequently, during the European sovereign debt crisis. Based on the approach developed by Bae et ...
