Riskcenter
The research group on Risk in Insurance and Finance is attached to the Institute of Applied Economics IREA-UB
Working papers
SGR 2009-1328
Consolidated research group
2013
Belles-Sampera, J., Guillén, M. and Santolino, M. (2013) “Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”, Working paper 2013/02, Research Institute of Applied Economics.
Osorio, A., Bolancé, C., Madise N. and Rathmann, K. (2013) “Social Determinants of Child Health in Colombia: Can Community Education Moderate the Effect of Family Characteristics?”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2013-02.
2012
Alemany, R., Bolancé, C. and Guillén, M. (2012) “Nonparametric estimation of Value-at-Risk”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-19.
Belles-Sampere, J., Merigó, J.M. and Santolino, M. (2012) “The connection beween distortion risk measures and ordered weighted averaging operators”, Working paper 2012/01, Research Institute of Applied Economics.
D’Amico, G., Guillén, M. and Manca, R. (2012) “Discrete time non-homogeneous semi-Markov processes applied to models for disability insurance” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-05.
Ferri, A., Guillén, M. and Bermúdez, Ll. (2012) “Solvency capital estimation and risk measures” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-02.
Ferri, A., Bermúdez, Ll. and Guillén, M. (2012) “How to use the standard model with own data?” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-03.
Marí del Cristo, L. andGómez-Puig, M. (2012) “Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar?”, Working Paper 2012/16, Research Institute of Applied Economics.
Osorio, A., Bolance, C. and Madise, N. (2012) “Intermediary and structural determinants of early childhood health in Colombia: exploring the role of communities” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-13.
2011
Ayuso, M., Bermúdez, M. and Santolino, M. (2011) “Influence of the parties' behavioural features on motor compensation outcomes”, Working paper 2011/08, Research Institute of Applied Economics.
Ayuso, M., Guillén, M. and Bolancé, C. (2011) “Loss risk through fraud in car insurance” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-08.
Bermúdez, L., Ferri, A. and Guillén, M. (2011) “A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-12 and Working paper 2011/13, Research Institute of Applied Economics.
Bermúdez, L. and Karlis, D. (2011) “Mixture of bivariate Poisson regression models with an application to insurance”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-10.
Gómez-Puig, M., Abad, P. and Chuliá, H. (2011) “Time-varying integration in European government bond markets”, FUNCAS: Documento de trabajo 611.
Gómez-Puig, M. and Sosvilla-Rivero, S. (2011) “Causality and Contagion in Peripheral EMU Public Debt Markets: a Dynamic Approach”, Working Papers on International Economics and Finance n.11-06, AEEFI. ISNN: 1696-6376.
Guillén, M. and Comas-Herrera, A. (2011) “How much risk is mitigated by LTC Insurance? A case study of the public system in Spain” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-07.
Osorio, A., Bolancé, C. and Alcañiz, M. (2011) “Measuring Early Childhood Health: a composite index comparing Colombian departments” IREA Working paper 2011/22.
Pitt, D., Guillén, M. and Bolancé, C. (2011) “Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R” Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-06.
Santolino, M. and Söderbeg, M. (2011) “The role of selection in drawing correct inference on factors influencing appealed rulings in two diverse legal settings”, in progress.
Santolino, M., Karlis, D. and Bermúdez, L. (2011) “The cost of rounding the work disability period resulting from motor accidents: a mixture discrete distribution to model the length of inability to work”, in progress.
Santolino, M., Bolancé, C. and Alcañiz, M.(2011) “Factors affecting hospital admission and recovery stay duration of in-patient motorvictims in Spain”, IREA Working paper 2011/19.
Santolino, M. and Söderberg, M. (2011) “The influence of decision-maker effort and case complexity on appealed rulings subject to multi-categorical selection” Working paper 2011/15, Research Institute of Applied Economics.
2010
Bolancé, C., Alemany, R., and Guillén, M. (2010) "Prediction of the economic cost of individual long-term care in the Spanish population”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP2010-8 i Documents de l'Institut de Recerca en Economia Aplicada IREA2010-11.
Bermúdez, L. and Karlis, D. (2010) “Modelling dependence in a ratemaking procedure with multivariate Poisson regression models”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2010-4.
Gómez-Puig, M. and Cuñado, J. (2010) “Monetary integration and risk diversification in EU-15 sovereign debt markets”, FUNCAS: Documento de trabajo 498.
Pitt, D. and Guillén, M. (2010) “An introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2010-3.
2009
Abad, P., Chuliá, H. and Gómez-Puig, M. (2009) “EMU and European government bond market integration”, European Central Bank Working Paper Series n.1079, August.
Ayuso, M. and Santolino, M. (2009) “Individual prediction of automobile bodily injury claims liabilities”, Documents de treball de la Facultat d’Economia i Empresa, Col•lecció d’Economia, E09/220.
Ayuso, M., Bermúdez, L. and Santolino, M. (2009) “Factores influyentes en el coste de liquidación de los daños personales derivados de accidentes de circulación ante la futura reforma del baremo”, Investigaciones en Seguros y Gestión de riesgos: RIESGO 2009.
Bermúdez, L., Prieto, F. and Sarabia, J.M. (2009) “Valoración de derivados de crédito mediante distribuciones multivariantes tipo Marshall-Olkin”, Investigaciones en Seguros y Gestión de riesgos: RIESGO 2009.
Solé-Auró, A., Guillén, M. and Crimmins, E.M. (2009) “Health care utilization among immigrants and native-born populations in 11 European countries. Results from the survey of health, ageing and retirement in Europe”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP2009-10.
Solé-Auró, A., Guillén, M. and Crimmins, E.M. (2009) “Health care utilization among immigrants and native-born populations in 11 European countries. Results from the survey of health, ageing and retirement in Europe”, Institut de Recerca en Economia Aplicada (IREA) Working Papers. Universitat de Barcelona. 20/2009.
2008
Abad, P., Díaz, A. and Robles, M.D. (2008) “Determinants of abnormal liquidity after rating actions in the corporate debt market”, Documento de Trabajo 427, Documentos de Trabajo de FUNCAS, Fundación de Cajas de Ahorros.
Bermúdez, L. (2008). “A priori ratemaking using bivariate Poisson regression models”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2008-09.
2007
Abad, P., Díaz, A. and Robles, M.D. (2007) “The impact of credit rating announcements on Spanish corporate fixed income performance: returns, yields and liquidity”, Documento de Trabajo 316, Documentos de Trabajo de FUNCAS, Fundación de Cajas de Ahorros.
Bermúdez, Ll., Guillén, M. and Solé-Auró, A. (2007) “Impacto de la inmigración sobre la esperanza de vida en salud y en discapacidad de la pobalción española”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP2007-13.
Chuliá, H., Martens, M. and van Dijk, D. (2007) “The effect of fed funds target rate changes on S&P100 stock returns, volatilities and correlations”, ERIM Report Series 2007-66-F&A.
Chuliá, H., Climent, F.J., Soriano, P. and Torró, H. (2007) “Volatility transmission patterns and terrorist attacks”, Instituto Valenciano de Investigaciones Económicas (IVIE).
Gómez-Puig, M. (2007) “EU-15 sovereign governments’ cost of borrowing seven years after monetary union”, Working Papers on International Economics and Finance, n.07.03 AEEFI-FEDEA, ISNN: 1696-6376.
Gómez-Puig, M. (2007) “EU-15 sovereign governments’ cost of borrowing seven years after monetary union”, Institut de Recerca en Economia Aplicada (IREA), Working Papers, Universitat de Barcelona, 11/2007.
Rodríguez, E., Álvarez, B. and Abad, P. (2007) “Modelos alternativos de gestión de las listas de espera en sanidad: aplicación al Servicio Galego de Saúde”, Papeles de Trabajo WP71, del Instituto de Estudios Económicos de Galicia Pedro Barrié de la Maza.
2006
Abad, P. and Benito, S. (2006) “A parametric model to estimate risk in a fixed income portfolio”, Documento de Trabajo 300, Documentos de Trabajo de FUNCAS, Fundación de Cajas de Ahorros.
Abad, P. and Benito, S. (2006) “Valor en riesgo en carteras de renta fija. Una comparación entre modelos empíricos de la estructura temporal”, Documento de Trabajo 0604, Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid.
Alcañiz, M., Costa, A., Guillén, M., Luna, C. and Rovira, C. (2006) “Calculation of the variance in surveys of the economic climate”, Institut de Recerca en Economia Aplicada (IREA) Working Papers, Universitat de Barcelona, 5/2006.
Guillén, M., Nielsen, J.P., Scheike, T. and Pérez-Marín, A.M. (2006) “Time-varying effects when analysing customer lifetime duration: application to the insurance market”, Documents de Treball de l’IREA, 2006/4.
Gómez-Puig, M. (2006) “The impact of monetary union over EU-15’s sovereign debt yield spreads”, Documents de Treball, Espai de Recerca en Economia, Universitat de Barcelona, E06/142.
Pelegrín, A. and Bolancé, C. (2006) “Regional foreign direct investment in manufacturing: do agglomeration economies matter?”, Documents de Treball IEB, 2.
Ruiz, E., Fontanals, H. and Bolancé, C. (2006) “Term structure of interest rates. European financial integration”, Working Papers in Economics, Universitat de Barcelona, 163.
2005
Gómez-Puig, M (2005) “The impact of monetary union over EU-15’s sovereign debt yield spreads”, Working Papers on International Economics and Finance, n.05-11, AEEFI-FEDEA, ISNN: 1696-6376.
Gómez-Puig, M. (2005) “Monetary integration and the cost of borrowing”, Working Papers on International Economics and Finance, n.05-05, AEEFI-FEDEA, ISNN: 1696-6376.
Gómez-Puig, M (2005) “Monetary integration and the cost of borrowing”, Documents de Treball, Espai de Recerca en Economia, Universitat de Barcelona, E05/134.
Gómez-Puig, M and Tremosa, R. (2005) “La empresa familiar española y los mercados bursátiles”, Estudios Sobre el Mercado de Valores, n. 36, Servicio de Estudios de la Bolsa de Barcelona.
2004
Bolancé, C., Denuit, M., Guillén, M. and Lambert, Ph. (2004) “Bayesian experience rating with dynamic heterogeneity”, Working Paper 04-10, Institut des Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.
Delwarde, A., Denuit, M., Guillén, M. and Vidiella, A. (2004) “Application of the Poisson log-bilinear projection model to the G5 mortality experience”, Working Paper 04-11, Institut des Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.