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Alternative Methods of Estimating the Longevity Risk

Bolancé, Catalina - 2018

The aim of this paper is to estimate the longevity risk and its trend according to the age of the individual. We focus on individuals over 65. We use the value-at-risk to measure the longevity risk. We have proposed the use of an alternative methodology based on the estimation of the truncated...

Persistent link: https://www.econbiz.de/10012909959

Multivariate density estimation using dimension reducing information and tail flattening transformations

Buch-Kromann, Tine; Guillén, Montserrat; Linton, Oliver; … - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10008839753

Longevity studies based on kernel hazard estimation

Felipe, Angie; Guillén, Montserrat; Nielsen, Jens Perch - 2000

Persistent link: https://www.econbiz.de/10001493540

Kernel, density estimation of actuarial loss functions

Bolance, Catalina; Guillén, Montserrat; Nielsen, Jens Perch - 2000

Persistent link: https://www.econbiz.de/10001493542

An application of the transformed kernel density estimation to labor earnings in Spain

Guillén, Montserrat; Bolancé Losilla, Catalina - 1998

Persistent link: https://www.econbiz.de/10001398782

Joint generalized quantile and conditional tail expectation regression for insurance risk analysis

Guillén, Montserrat; Bermúdez, Lluís; Pitarque, Albert - In: Insurance / Mathematics & economics 99 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012649203

Estimation of parametric and nonparametric models for univariate loss distributions in finance : an approach using R

Pitt, David C.; Guillén, Montserrat; Bolancé, Catalina - In: Journal of financial education 42 (2016) 1/2, pp. 154-175

Persistent link: https://www.econbiz.de/10011626033

Allowing for time and cross dependence assumptions between claim counts in ratemaking models

Bermúdez, Lluís; Guillén, Montserrat; Karlis, Dimitris - In: Insurance / Mathematics & economics 83 (2018), pp. 161-169

Persistent link: https://www.econbiz.de/10011944124

Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...

Persistent link: https://www.econbiz.de/10012508762

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014225819