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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

Modelling losses and locating the tail with the Pareto positive stable distribution

Guillén, Montserrat; Prieto, Faustino; Sarabia Alzaga, … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 454-461

Persistent link: https://www.econbiz.de/10009404684

Risk aggregation in Solvency II through recursive log-normals

Bølviken, Erik; Guillén, Montserrat - In: Insurance / Mathematics & economics 73 (2017), pp. 20-26

Persistent link: https://www.econbiz.de/10011702034

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

An examination of the tail contribution to distortion risk measures

Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119

Persistent link: https://www.econbiz.de/10013473149