News

Steven Vanduffel seminar on “Assessing Model Risk

November 4, 2015: Steven Vanduffel gave a Seminar entitled “Assessing Model Risk”.

Vanduffel spoke about the risk assessment of high dimensional portfolios, a core task in the regulation of financial institution. Besides the difficulties in the estimation of the joint distribution of the portfolios, there is not a consensus on quantifying model risk. A natural way could be finding the extreme values of a chosen risk measure in a family of candidate models.


Vanduffel discussed several probabilities to integrate dependence and he discussed the impact on risk bounds. He proposed extended versions of the Rearrangement Algorithm (RA) that deal with the availability of dependence information.

Royal Academy of Economics and Finance receives new numerary member

October 15, 2015: Prof. Montserrat Guillén is named Numerary Academic of the Royal Academy of Economics and Finance.

She gave the acceptance lecture "Risk and Insurance in Economics" where she highlighted the singularity of this field of study and the need to enforce econometrics, the part of economics that develops statistical models, into a new era where big data bases should be used in a digital framework. She also insisted in the importance to incorporate risk in economic decision making and emphasized that these new approximations should enter the analysis of pension systems.

She received the medal which had been held by the late RACEF numerary Academic Jose Barea, who passed away in November 2014, and who was the Spanish Secretary of State of Social Security.

Riskcenter-UB research group receives a visiting delegation from Indonesia

September 17, 2015: Delegates of the CMRS Indonesia (Center for Risk Management Studies) visit Riskcenter-UB to discuss approaches to risk management.

The visit is part of a benchmarking exercise by the Enterprise Risk Management Academy (ERMA) based in Singapore. It provides an opportunity for a group of Indonesia Risk Management professionals to get an exposure to Enterprise Risk Management's (ERM) knowledge and best practice in Spain. The workshop is organized by CRMS Indonesia, which is a not-for-profit institution providing advice and training on approaches to risk management, allied with the ERMA.

The delegation consists of executives from a range of industries in Indonesia who are either practitioners, academics, supervisors or interested in the area of enterprise risk management. The meeting with Riskcenter at UB shows Indonesian risk management executives how risk management education and research is carried out in Barcelona and provide a chance for dialogue and coorperation.

The welcome reception is at the Faculty of Economics and Business of the University of Barcelona.

Jaume Belles-Sampera defended his PhD Thesis.

Jul. 31 2015: Jaume Belles-Sampera, PhD in Business, defended his thesis on quantitative risk assessment, aggregation functions and capital allocation problems. External members of the jury were Prof. Jose Maria Sarabia (Univ. Cantabria), Prof. Jan Dhaene (Univ. Leuven, KUL) and Prof. Andreas Tsanakas (City University London). He proposed ways to identify attitudes in new risk measures.
Implementations in R of GlueVaR risk measues can be found here.

Arelly Ornelas defended her PhD Thesis

Jul. 17 2015: Arelly Ornelas, PhD in Statistics, defended her thesis on mortality and longevity for insured populations in Mexico. External members of the jury were Prof. Ana Debon (UPV) and Prof. Monica Becue (UPC). She proposed ways to address unisex lifetables.

Related implementations in R can be found here .

Workshop on Economic Assessment on Bodily Injuries in Motor Claims

Jul. 16 2015: The Workshop on Economic Assessment on Bodily Injuries in Motor Claims was held as part of the Barcelona Insurance and Risk Management Summer School 2015, organized by Riskcenter at UB. More than 40 participants attended the sessions on law reforms in Spain.

Details on the programme and lectures can be found here [in Spanish].

Award to Riskcenter young researcher

Jun. 26 2015: Estefanía Alaminos, PhD candidate in Business, was awarded the young researcher prize in honor of prof. B. Pena.

The 29^th international congress on Applied Economics was held at UCLM and focused on the sustainability and sufficiency of the Pension System.

Vidacaixa and Riskcenter present study on selfemployed and SME

Jun. 23 2015: Ramon Alemany and Montserrat Guillén presented the results of a study on risk management for self-employed at Caixaforum Madrid.

The study calls for more innovation in retirement instruments and support for pension planning.
For more information, visit this webpage.
For a video, watch here.

Risk 2015/ICRA present the latest advances in risk analysis and management

May. 26 2015: Between 26 and 29 May, the International Conference on Risk Analysis (ICRA 6/Risk 2015) was held in Barcelona at the University Pompeu Fabra. Participants include researchers in Risk Analysis from different areas such as health, engineering and finance.
For more information, visit this link.

2015 Summer School activities at Riskcenter

Apr. 7 2015: Three activities are organized during the 2015 Barcelona Risk and Insurance Summer School at Riskcenter. July, 3 Evaluation of public policies for Sustainable Long-Term Care (held in Valencia), July 15 “Conic Finance Explained and Applied" by Wim Schoutens and July, 16 Workshop on Economic Assessment of Bodily Injuries in Motor Claims. For more information, visit this link.

Leo Guelman defended his PhD Thesis.

Mar. 2 2015: Leo Guelman defended his PhD Thesis entitled “Optimal personalized treatment learning models with insurance applications” supervised by Montserrat Guillén. The thesis jury was composed by Ramon Alemany, Katrien Antonio and Arthur Charpentier.

Leo Guelman, PhD in Economics at University of Barcelona and MA in Economics at University of British Columbia, is the author of the uplift package for R, which is an integrated package for building and testing uplift models. For more information about the R package, follow this link.

Mercedes Ayuso and Miguel Santolino receive the ‘I Prize to Talent in the insurance market’

Feb. 18 2015: Mercedes Ayuso and Miguel Santolino have received the ‘I Prize to Talent in the insurance market’. The prize is awarded by INESE to the best study in the insurance industry in Spain, Portugal and Latin America. The recognition was given for the study entitled ‘Typology of litigation with insurance component in civil jurisdiction’ (Revista Española de Seguros, 2013, N.156, pp. 564-583). This study is the result of a joint research project with the legal protection company DAS, ERGO Group.

Spain is one of the European member states with a higher rate of civil legal disputes per inhabitants. This study analyses the expected impact of recent Spanish legislation to promote alternative disputes resolution (ADR) mechanisms, such as mediation and arbitration, in disputes involving insurance companies.