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The use of flexible quantile-based measures in risk assessment
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Institut de Recerca en Economia Aplicada (IREA), … - 2015
A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. (2014) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here...
Persistent link: https://www.econbiz.de/10011205385
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On the link between credibility and frequency premium
Bolancé, Catalina; Guillén, Montserrat; Pinquet, Jean - In: Insurance / Mathematics & economics 43 (2008) 2, pp. 209-213
Persistent link: https://www.econbiz.de/10008104615
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Exchanging uncertain mortality for a cost
Donnelly, Catherine; Guillén, Montserrat; Nielsen, … - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 65-76
Persistent link: https://www.econbiz.de/10010062194
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Quantile regression for cross-sectional and time series data : applications in energy markets using R
Uribe, Jorge; Guillén, Montserrat - 2020
Persistent link: https://www.econbiz.de/10012220345