Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to...

This paper questions the equidistribution assumption for the random effects in a frequency risk model. Two models are presented, which use parametric and nonparametric links between the variance of the random effect and frequency risk. They are estimated on a Spanish automobile insurance...

A transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, the choice of the bandwidth parameter becomes straightforward. An illustration and simulation results are presented.

Se analiza la distribución individual del coste acumulado a lo largo de la vida de los cuidados de larga duración relacionados con la dependencia. A partir de la encuesta EDAD (INE, 2008), la tabla de mortalidad para la población española, el coste económico de los servicios de cuidados y...

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal...

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal...

Pensions together with savings and investments during active life are key elements of retirement planning. Motivation for personal choices about the standard of living, bequest and the replacement ratio of pension with respect to last salary income must be considered. This research contributes...

Pensions together with savings and investments during active life are key elements of retirement planning. Motivation for personal choices about the standard of living, bequest and the replacement ratio of pen- sion with respect to last salary income must be considered. This research contributes...

Here is an example on how to calculate the risk of a portfolio using bivariate parametric copulas and Monte Carlo simulation. First, the parameter of the copula are estimated, then marginal distributions are fitted and value at risk (VaR) and tail value at risk (TVaR) are calculated.

Two speed management policies were implemented in the metropolitan area of Barcelona aimed at reducing air pollution concentration levels. In 2008, the maximum speed limit was reduced to 80 km/h and, in 2009, a variable speed system was introduced on some metropolitan motorways. This paper...