Associate professor BA in Economics, UCM (Spain)

Transcripción

1 Research Group Risk in Finance and Insurance University of Barcelona Members Name Degrees Situation Pilar Abad PhD in Economics, UCM (Spain) Associate professor BA in Economics, UCM (Spain) On leave, URJC Manuela Alcañiz PhD in Economics, UB (Spain) MA Mathematics, UB (Spain) Associate professor Ramon Alemany PhD in Economics Full professor Josep M. Aragay BA in Economics Associate professor Mercedes Ayuso PhD in Economics, UB (Spain) MSc in Economics, UB (Spain) Full professor MSc in Actuarial Science, UB (Spain) Jaume Belles MA in Business, Finance and Insurance, UB (Spain) Research assistant MA in Mathematics, UB (Spain) Lluís Bermúdez PhD in Economics, UB (Spain) MA in Actuarial Science, UB (Spain) Associate professor MA in Statistics, UPC (Spain) Daniel Blay PhD in Business Administration, UB Research assistant (Spain) On leave, VidaCaixa MA in Actuarial Science, UB (Spain) Catalina Bolancé PhD Marketing BA Statistics Associate professor PhD in Economics, UV (Spain) Helena Chuliá BA in Management and Business Lecturer Administration, UV (Spain) Antoni Ferri PhD in Business, UB (Spain) MA in Business, Finance and Insurance, UB (Spain) Research assistant MA Actuarial Science, UV (Spain) BA Business Administration, UV (Spain) Hortènsia Fontanals PhD Economics Associate professor Patricio García PhD Economics Associate professor Anna Maria Gil- Lafuente Marta Gómez-Puig Montserrat Guillén Aras Keropyan José M. Merigó MA Economics, Yale (USA) PhD Economics MA Business Administration PhD in Economics, UB (Spain) MA in Economie Européenne, ULB (Belgium) BA in Economics, UB (Spain) PhD Economics, UB (Spain) MA Data Analysis, University of Essex (UK) MSc Mathematics, UB (Spain) MA in Risk Management and Insurance, UNED (Spain) MSc in Industrial Engineering MA in Business Administration PhD Economics, UB(Spain) MA in European Business and Business Law, Lund University (Sweden) Associate professor Associate professor Director, Full professor Research assistant Senior Researcher On leave, University of Manchester 1

2 Name Degrees Situation BS in Economics, Lund University (Sweden) BS in Business Administration, UB (Spain) MA in Business Administration, UB (Spain) Kamal Mustafa Arelly Ornelas Ana Osorio Anna M. Pérez-Marín Dídac Planas-Paz Miguel Santolino Aïda Solé-Auró Emili Vizuete Luciano BA Statistics (Best student award, 2 nd, Spain) MA in Statistics and OR, UPC (Spain) MA in Actuarial Science, UNAM (Mexico) PhD candidate MA in Applied Economics, UAB (Spain) BA in Economics, PUJ-Cali (Colombia) PhD candidate PhD Business Administration, UB (Spain) MSc in Financial and Actuarial Engeniering, KU Leuven (Belgium) MA Actuarial Science, UB (Spain) BA Statistics, UB (Spain) MA Economics BA Statistics PhD Business Administration, UB (Spain) MSc in Financial and Actuarial Engeniering, KU Leuven (Belgium) MA Actuarial Science, UB (Spain) MA Economics, UB (Spain) PhD Business Administration, UB (Spain) MA Actuarial Science and Finance, UB (Spain) BA Business Administration, UDL (Spain) MA in Business Administration PhD candidate Research assistant Part time Research assistant Research assistant Associate professor KU Leuven, 2004/05 Research assistant Lecturer KU Leuven, 2004/05 Research Assistant on leave, Ined Adjunt lecturer 2

3 Affiliates and previous members Jean Philippe Boucher (Université du Québec, Montreal, Canada) Margarita Carrillo-López (FIATC, Spain) Peter Lochte Jorgensen (University of Aarhus, Denmark) Malena Monteverde (Northwestern University, USA; CONICET, Argentina) Jens Perch Nielsen (City University London, UK) David Pitt (Macquarie University, Sydney, Australia) Gabriel A. Pons Rotger (AKF, Denmark) María Pujol-Jover (IN3, UOC) Pau Salsas-Forn (London Economics, UK) Carlos Soldevilla-Senar (Schneider Electric, Spain) Barbara Strassberg (Aurora University, USA) Antoni Vidiella-Anguera (Bluecap, Spain) 3

4 Content Articles (forthcoming)... 5 Articles ( )... 7 Books Book chapters Working papers in series Thesis Contributions to meetings Grants and research projects Research Projects Projects with Foundations and Institutions Other Grants and Projects Innovative teaching projects and groups Awards Visiting researchers Seminars organized by the group Organization and participation in events Other activities

5 Articles (forthcoming) 1. J.M. Merigó, M. Casanovas, Y.J. Xu, Fuzzy (2014) Group decision-making with generalized probabilistic OWA operators, Journal of Intelligent & Fuzzy Systems, accepted. 2. Alcañiz, M., Ayuso, M., Pérez-Marín, A.M. (2013) El seguro pay-as-you-drive- PAYD Revista Española de Seguros, accepted. 3. Belles-Sampera, J., Guillén, M., Santolino, M. (2013) Beyond value at risk: GlueVaR distortion risk measures Risk Analysis, accepted. 4. Bermúdez, L., Ferri, A. and Guillén, M. (2013) On the use of Risk Measures in Solvency Capital Estimation International Journal of Business Continuity and Risk Management, accepted. 5. Gómez-Puig, M. and Sosvilla-Rivero, S. (2013). Granger-Causality in Peripheral EMU Public Debt Markets: a Dynamic Approach. Journal of Banking and Finance, accepted 6. Guelman, L., Guillén, M. (2013) A causal inference approach to measure price elasticity in Automobile Insurance Expert Systems with Applications, accepted. 7. Guelman, L., Guillén, M. and Pérez-Marín, A.M. (2013) Uplift Random Forests Cybernetics & Systems, Special issue on Intelligent Systems in Business and Economics, accepted. 8. Solé-Auró, A. (2013). Bibliographie Critique. Explaining Divergent Levels of Longevity in High-Income Countries. Population, 3, accepted. 9. Abad, P. and Benito, S. (2012) A detailed comparison of value at risk estimates Mathematics and Computers in Simulation, accepted. 10. Gil-Lafuente, A.M. and Barcellos de Paula, L. (2012) Algorithm applied in the identification of stakeholders, Kybernetes, accepted. 11. Gil-Lafuente, A.M. and Klimova, A. (2012) Approximation to the theory of affinities to manage the problems of the grouping process International Journal of Computational Intelligence Systems, accepted. 12. Gil-Lafuente, A.M., Martorell, O. and Mulet, C. (2012) Choice of entry mode into a foreign market: the case of balearic hotel chains in the Caribbean region and Gulf of Mexico Kybernetes, accepted. 13. Gil-Lafuente, A.M., Vizuete-Luciano, E., Boria-Reverté, S. and García, A. (2012) Forgotten effects of corporate social and environmental responsability: a case study of catalonian economy Kybernetes, accepted. 14. Guillén, M., Konicz, A.K., Nielsen, J.P. and Pérez-Marín, A.M. (2012) Do not pay for a Danish interest guarantee. The law of the triple blow Annals of Actuarial Science, accepted. 15. Keropyan, A. and Gil-Lafuente, A.M (2012) A human resource selection model using Galois group theory Kybernetes, accepted. 16. Merigó, J.M. (2012) Decision making under risk and uncertainty and its application in strategic management Journal of Business Economics and Management, accepted. 5

6 17. Merigó, J.M. (2012) OWA operators in the weighted average and its application in decision making Control & Cybernetics, accepted. 18. Merigó, J.M., Engemann, K.J. and Palacios-Marqués, D. (2012) Decision making with Dempster-Shafer theory and the OWAWA operator Technological and Economic Development of Economy, accepted. 19. Merigó, J.M., Rocha, C. and Garcia-Agreda, S. (2012) Entrepreneurial intervention in electronic markets: the influence of customer participation International Entrepreneurship and Management Journal, accepted. 20. Merigó, J.M. and Yager, R.R. (2012) Generalized moving averages, distance measures and OWA operators International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, accepted. 21. Osorio, A, Bolance, C. and Alcañiz, M. (2012) Measuring intermediary determinants of early childhood health: a composite index comparing Colombian departments Child Indicators Research, accepted. 22. Pelegrín, A. and Bolancé, C. (2012) Offshoring and firm charasteristics: some evidence from the analysis of Spain firm-level data The International Economy, accepted. 23. Santolino, M., Söderberg, M. (2012) Modelling appellate courts' responses in motor injury disputes European Journal of Law and Economics, accepted. 24. Solé-Auró, A. and Crimmins, E.M. (2012) Who cares? A comparison of informal and formal care provision in Spain, England and the US Ageing & Society, accepted. 25. Zeng, S., Su, W. and Merigó, J.M. (2012) Extended induced ordered weighted averaging distance operators and their applicator group decision-making International Journal of Information Technology and Decision Making, accepted. 26. Abad, P., Chuliá, H. and Gómez-Puig, M. (2011) Time-varying integration in european government bond markets European Financial Management, accepted. 6

7 Articles ( ) Abbasi, B. and Guillén, M. (2013) Bootstrap control charts in monitoring value at risk in insurance Expert Systems with Applications, 40(15), Ai, J., Brockett, P.L., Golden, L. and Guillén, M. (2013) A robust unsupervised method for fraud rate estimation Journal of Risk and Insurance, 80(1), Alemany, R and Guillén, M. (2013) The History of the insurance market in Spain Insurance and Risk Management Journal, 81 (1-2), Alemany, R., Ayuso, M. and Guillén, M. (2013) Impact of road traffic injuries on disability rates and long-term care costs in Spain Accident Analysis and Prevention, 60, November 2013, Alemany, R., Bolancé, M. and Guillén, M. (2013) A nonparametric approach to calculating value-at-risk Insurance: Mathematics and Economics, 52(2), Ayuso, M, Guillén, M. and Valero, D. (2013) Sostenibilidad del sistema de pensiones en España desde la perspectiva de la equidad y la eficiencia Presupuesto y Gasto Público, 71/2013, Bahraoui, Z., Bolancé, C. and Alemany, R. (2013) Estimating Risk with Sarmanov Copula and Nonparametric Marginal Distributions Lecture Notes in Business Information Processing, 145, Belles-Sampera, J., Guillén, M. and Santolino, M. (2013) Generalizing some Usual Risk Measures in Financial and Insurance Applications Lecture Notes in Business Information Processing, 145, Belles-Sampera, J., Merigó, J.M., Guillén, M. and Santolino, M. (2013) The connection between distortion risk measures and ordered weighted averaging operators Insurance: Mathematics and Economics, 52(2), Belles-Sampera, J., Santolino, M. (2013) Asignación óptima de capital en base al perfil de riesgo de las Instituciones de Inversión Colectiva: una aplicación de las medidas de riesgo distorsionades, Revista de Métodos Cuantitativos para la Economía y la Empresa, 15, Bermúdez, L., Ferri, A. and Guillén, M. (2012) A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation Astin Bulletin, 43(1), Bolancé, C., Alemany, R. and Guillén, M. (2012) Sistema público de dependencia y reducción del coste individual de cuidados a lo largo de la vida Revista de Economía Aplicada, 21(61), Bolancé, C., Guillen, M., Gustafsson, J. and Nielsen J.P. (2013) Adding prior knowledge to quantitative operational risk models Journal of Operational Risk, 8(1), Crimmins, E.M. and Solé-Auró, A. (2013) Life expectancy, Health and Functioning Among the 85-Plus in Europe and the United States, Public Policy and Aging Report, 23(2),

8 15. D Amico, G., Guillén, M. and Manca, R. (2013) Semi-Markov disability insurance models Communications in Statistics-Theory and Methods, 42(16), Donnelly, C., Guillén, M. and Nielsen, J.P. (2013) Exchanging uncertain mortality for a cost Insurance: Mathematics and Economics, 52(1), Gómez-Puig, M. (2013) Crisis de la deuda soberana y apalancamiento en la zona euro: Un intento de cuantificación. Cuadernos de Economía: Spanish Journal of Economics and Finance, 36(101), Guillén, M., Sarabia, J.M. and Prieto, F. (2013) Simple risk measure calculations for sums of positive random variables Insurance: Mathematics and Economics, 53(1), Marí del Cristo, L. and Gómez-Puig, M. (2013) Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar? Applied Economics, 45(31), Merigó, J.M., Guillén, M. and Belles-Sampera, J. (2013) Normalizing errors in a unified framework between the weighted average and the OWA operator, IEEE-Symposium Series on Computational Intelligence 2013 (FOCI 2013), Merigó, J.M., Guillén, M. and Sarabia, J.M. (2013) A Generalization of the Variance by Using the Ordered Weighted Average Lecture Notes in Business Information Processing, 145, Ornelas, A., Guillén, M. and Alcañiz, M. (2013) Implications of Unisex Assumptions in the Analysis of Longevity for Insurance Portfolios Lecture Notes in Business Information Processing, 145, Ramírez Román, A., Guillén i Estany, M. and Sánchez-Moscona, D. (2013) Seguros Agrícolas en México Revista Global de Negocios, 1 (1), Solé-Auró, A. and Crimmins, E.M. (2013) The Oldest Old Health in Europe and the United States Annual Review of Gerontology and Geriatrics, 33(1), Thuring, F., Nielsen, J.P., Guillén, M. and Bolancé, C. (2013) Segmenting and selecting cross-sale prospects using dynamic pricing ICORES Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems, Abad, P., Diaz, A. and Robles, M.D. (2012) Credit rating announcements, trading activity and yield spreads: the Spanish evidence International Journal of Monetary Economics and Finance, 5(1), Alemany, R., Alcañiz, M., Guillén, M. (2012) The Statistical Accuracy of Surveys on Business and Economic Perspectives: A Case Study Studies in Fuzziness and Soft Computing, 286, Alemany, R., Ayuso, M. and Guillén, M. (2012) Nuevos factores exógenos en la modelización de la dependencia: la inversión en prevención de la dependencia en la población de edad avanzada Anales del Instituto de Actuarios Españoles, 18, Alemany, R., Bolancé, C., Guillén, M. (2012) Disability Caused by Occupational Accidents in the Spanish Long-Term Care System Studies in Fuzziness and Soft Computing, 287,

9 30. Assis-Dorr, A., Palacios-Marqués, D. and Merigó, J.M. (2012) Social networking as an enabler of change in entrepreneurial Brazilian firms Journal of Organizational Change Management, 25(5), Ayuso, M., Bermúdez, Ll., Santolino, M. (2012) La liquidación de siniestros con daños corporales en el seguro del automóvil: análisis de costes y duraciones según la vía de resolución Revista Española de Seguros, 152, Ayuso, M., Bermúdez, L. and Santolino, M. (2012) Influence of parties' behavioural features on motor compensation disputes in insurance markets Journal of Risk Research, 15 (6), Ayuso, M.; Guillén, M. Pérez-Marín, A. M. (2012) Modelos internos en Solvencia II: Su aplicación al cálculo del coeficiente de caída de cartera Gerencia de Riesgos y Seguros, 112, Ayuso, M. and Santolino, M. (2012) Forecasting the Maximum Compensation Offer in the Automobile BI Claims Negotiation Process Group Decision and Negotiation, 21(5), Bermúdez, L.; Ferri, A. (2012) Fórmula de credibilidad para la estimación de las correlaciones entre líneas de negocio en el cálculo del SCR del módulo de suscripción no vida Anales del Instituto de Actuarios Españoles, 18, Bermúdez, L. and Karlis, D. (2012) A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking Computational Statistics & Data Analysis, 56(12), Bolancé, C., Ayuso, M. and Guillén, M. (2012) A nonparametric approach to analyzing operational risk with an application to insurance fraud The Journal of Operational Risk, 7(1), Casanovas, M. and Merigó, J.M. (2012) Risk in financial decisions and gender differences African Journal of Business Management, 6(34), Casanovas, M. and Merigó, J.M. (2012) Fuzzy aggregation operators in decision making with Dempster-Shafer belief structure Expert Systems with Applications, 39(8), Casanovas, M. and Merigó, J.M. (2012) Financial Decision Making with the Fuzzy Generalized Probabilistic Weighted Averaging Operator International Journal of Economic Research, 9(1), Ferri, T., Guillén, M. and Bermúdez, L. (2012) Solvency Capital Estimation and Risk Measures Lecture Notes in Business Information Processing, 115, Furió, M.D. and Chuliá, H. (2012) Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain Energy Economics, 34(6), Gil-Lafuente, A.M. and Keropyan, A. (2012) Decision Making of Customer Loyalty Programs to Maintain Consumer Constancy Lecture Notes in Business Information Processing, 115, Guelman, L., Guillén, M. and Pérez-Marín, A.M. (2012) Random Forests for Uplift Modeling: An Insurance Customer Retention Case Lecture Notes in Business Information Processing, 115,

10 45. Guillén, M. (2012) Sexless and beautiful data: from quantity to quality Annals of Actuarial Science, 6(2), Guillén, M. and Comas-Herrera, A. (2012) How Much Risk is Mitigated by LTC Protection Schemes? A Methodological Note and a Case Study of the Public System in Spain The Geneva Papers on Risk and Insurance- Issues and Practice, 37(4), Guillén, M., Nielsen, J.P., Pérez-Marín, A.M. and Petersen, K. (2012) Performance measurement of pension strategies: a case study of Danish life cycle products Scandinavian Actuarial Journal, 4, Guillén, M., Nielsen, J.P., Scheike, T.H. and Pérez-Marín, A.M. (2012) Time-varying effects in the analysis of customer loyalty: A case study in insurance Expert Systems with Applications, 39(3), Jha, S., Guillen, M., Christopher Westland, J. (2012) Employing transaction aggregation strategy to detect credit card fraud Expert Systems with Applications, 39(16), Merigó, J.M. (2012) The probabilistic weighted average and its application in multiperson decision making International Journal of Intelligent Systems, 27(5), Merigó, J.M. (2012) Probabilities with OWA operator Expert Systems with Applications, 39(13), Merigó, J.M. and Casanovas, M. (2012) Decision-Making with Uncertain Aggregation Operators and Dempster-Shafer Belief Structure International Journal of Innovative Computing, Information and Control, 8(2), Merigó, J.M., Casanovas, M. and Engemann, K.J. (2012) Group Decision-Making with Generalized and Probabilistic Aggregation Operators International Journal of Innovative Computing, Information and Control, 8(7A), Merigó, J.M. and Gil-Lafuente, A.M. (2012) A Method for Decision Making with the OWA operator Computer Science and Information Systems, 9(1), Merigó, J.M. and Gil-Lafuente, A.M. (2012) Decision making techniques with similarity measures and OWA operators SORT Statistics and Operations Research Transactions, 36(1), Merigó, J.M., Gil-Lafuente, A.M. and Martorell, O. (2012) Uncertain induced aggregation operators and its application in tourism management Expert Systems with Applications, 39(1), Merigó, J.M., Gil-Lafuente, A.M., Zhou, L.G. and Chen, H.Y. (2012) Induced and Linguistic Generalized Aggregation Operators and Their Application in Linguistic Group Decision Making Group Decision and Negotiation, 21(4), Merigó, J.M., Lobato-Corral, C. and Carrilero-Castillo, A. (2012) Decision making in the European Union under risk and uncertainty European Journal of International Management, 6(5), Nielsen, J.P., Guillén, M., Bolancé, C. and Gustafsson, J. (2012) Quantitative Modeling of Operational Risk Losses When Combining Internal and External Data Journal of Financial Transformation, 35,

11 60. Osorio, A., Bolancé, C. and Castillo, M. (2012) Deserción y graduación estudiantil universitaria: una aplicación de los modelos de supervivencia Revista Iberoamericana de Educación Superior, 3(6), Santolino, M., Bolancé, C. and Alcañiz, M. (2012) Factors affecting hospital admission and recovery stay duration of in-patient motor victims in Spain Accident Analysis and Prevention, 49, Pelegrín, A. and Bolancé, C. (2012) Deslocalització i característiques empresarials a Espanya Revista económica de Catalunya, 66, Solé-i-Auró, A., Guillén, M. and Crimmins, E. (2012) Health care usage among immigrants and native-born elderly populations in eleven European countries: Results from SHARE European Journal of Health Economics, 13(6), Thuring, F., Nielsen, J.P., Guillén, M. and Bolancé, C. (2012) Selecting prospects for crossselling financial products using multivariate credibility Expert Systems with Applications, 39(10), Valls, N. and H. Chuliá (2012) Volatility Transmission and Correlation Analysis: between the US and Asia: the Impact of the Global Financial Crisis Global Economic Review, 41(2), Xu, Y.J., Merigó, J.M. and Wang, H. (2012) Linguistic power aggregation operators and their application to multiple attribute group decision making Applied Mathematical Modelling, 36(11), Wei, G.W. and Merigó, J.M. (2012) Methods for strategic decision-making problems with immediate probabilities in intuitionistic fuzzy setting Scientia Iranica, 19(6), Zhou, L.G., Chen, H.Y., Merigó, J.M. and Gil-Lafuente, A.M. (2012) Uncertain generalized aggregation operators Expert Systems with Applications, 39(1), Vizuete-Luciano, E., Merigó, J.M., Gil-Lafuente, A.M., and Boria-Reverté, S. (2012) OWA Operators in the Assignment Process: The Case of the Hungarian Algorithm Lecture Notes in Business Information Processing, 115, Abad, P., Diaz, A. and Robles, M.D. (2011) Determinants of trading activity after rating actions in the Corporate Debt Market International Review of Applied Financial Issues and Economics, 3(2), Alcañiz, M., Alemany, R., Bolancé, C. and Guillén, M. (2011) El coste de los cuidados de larga duración en la población española: análisis comparativo entre los años 1999 y 2008 Revista de Métodos Cuantitativos para la Economía y la Empresa, 12, Ayuso, M., Bermúdez, L. and Santolino, M. (2011) Las indemnizaciones a las víctimas de accidentes de tráfico ante diferentes vías de resolución de conflictos: un análisis empírico Revista Española de Seguros, 147, Ayuso, M., Guillén, M. and Pérez-Marín, A.M. (2011) Metodología para el cálculo de escenarios de caída de cartera en Solvencia II en presencia de contagio entre cancelaciones Anales del Instituto de Actuarios Españoles, 17,

12 74. Ayuso, M. and Valero, D. (2011) Can complementary pensions plans take on the role of improving retirement pensions in the Dominican Republic? International Social Security Review, 64(2), Bermúdez, L. and Karlis, D. (2011) Bayesian multivariate Poisson models for insurance ratemaking Insurance: Mathematics and Economics, 48(2), Boucher, J.P. and Guillén, M. (2011) A Semi-nonparametric approach to model panel count data Communications in Statistics Theory and Methods, 40(4), Boucher, J.-P., Denuit, M. and Guillén, M. (2011) Correlated random effects for hurdle models applied to claim counts Variance, 5(1), Crimmins, E.M., Kim, J.K. and Solé-Auró, A. (2011) Gender differences in health: results from SHARE, ELSA, and HRS European Journal of Public Health, 21(1), Chuliá, H. and Torró, H. (2011) Firm size and volatility analysis in the Spanish stock market European Journal of Finance, 17(8), Ferri, A., Bermúdez, L. and Alcañiz, M. (2011) Sensibilidad a las correlaciones entre líneas de negocio del SCR del módulo de suscripción no vida basado en la fórmula estándar Anales del Instituto de Actuarios Españoles, 17, Gómez-Puig, M. and Cuñado, J. (2011) La diversificación del riesgo en los mercados de deuda pública de la zona euro Cuadernos de Economía, 34, Guillén, M., Linton, O., Nielsen, J.P. and Buch-Kromann, T. (2011) Multivariate density estimation using dimension reducing information and tail flattening transformations Insurance: Mathematics and Economics, 48(1), Guillén, M, Pérez-Marín, A.M. and Alcañiz, M. (2011) A logistic regression approach to estimating customer profit loss due to lapses in insurance Insurance Markets and Companies: Analyses and Actuarial Computations, 2, Guillén, M., Prieto, F. and Sarabia, J.M. (2011) Modelling losses and locating the tail with the Pareto Positive Stable distribution Insurance: Mathematics and Economics, 49(3), Mompart, A., Medina, A., Guillén, M., Alcañiz, M. and Brugulat, P. (2011) Características metodológicas de la ESCA 2006 Medicina Clínica, 137(Supl 2), Ornelas, A., Alcañiz, M. and Guillén, M. (2012) Modelos estadísticos para los costos en carteras colectivas de seguros de salud Revista Ibero-Latinoamericana de Seguros, 20(35), Pinquet, J., Guillén, M. and Ayuso, M. (2011) Commitment and lapse behavior in long-term Insurance: a case study Journal of Risk and Insurance, 78(4), Valero, D., Artís, M., Ayuso, M. and García, J. (2011) Una propuesta de reforma del sistema de pensiones español basada en un modelo de contribución definida nocional Revista de Métodos Cuantitativos para la Economía y la Empresa, 11,

13 1. Abad, P. and Benito, S. (2010) A parametric model to estimate risk in a fixed income portfolio. An application to calculate value at risk SORT - Statistics and Operations Research Transactions, 34, Abad, P., Chuliá, H. and Gómez Puig, M. (2010) EMU and European Government bond market integration Journal of Banking and Finance, 34, Ayuso, M, Guillén, M. and Alcañiz, M. (2010) The impact of traffic violations on the estimated cost of traffic accidents with victims Accident Analysis and Prevention, 42(2), Ayuso, M., Bermúdez, L. and Santolino, M. (2010) Una metodología alternativa para el cálculo de los perjuicios económicos futuros ante la reforma del sistema de valoración del daño corporal Revista Española de Seguros, 141, Ayuso, M., Bermúdez, L. and Santolino, M. (2010) Valoración actuarial del perjuicio económico futuro derivado de los accidentes de tráfico Anales del Instituto de Actuarios Españoles, 16, Ayuso, M., del Pozo, R. and Escribano, F. (2010) Factores sociodemográficos y de salud asociados a la institucionalización de personas dependientes Revista Española de Salud Pública, 84(6), Bermúdez, L., Ayuso, M. and Santolino, M. (2010) Reflexiones y perspectivas sobre la futura reforma del baremo de indemnizaciones Gerencia de Riesgos y Seguros, 108, Bolancé, C. (2010) Optimal inverse Beta (3,3) Transformation in kernel density estimation SORT - Statistics and Operations Research Transactions, 34(2), Bolancé, C., Ferri, A. and Santolino, M. (2010) Posicionamiento de las entidades aseguradoras del ramo de vida ante la puesta en marcha de programas de enterprise risk management Anales del Instituto de Actuarios Españoles, Bolancé, C., Guillén M. and Nielsen, J.P. (2010) Transformation kernel estimation of insurance claim cost distributions in Corazza, M. and Pizzi, C (Eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, Boucher, J.P. and Santolino, M. (2010) Discrete distributions when modelling the disability severity score of motor victims Accident Analysis and Prevention, 42(6), Chuliá, H., Martens, M. and van Dijk, D. (2010) Assymmetric effects of federals funds target rates changes on S&P100 stock returns, volatilities and correlations Journal of Banking and Finance, 34(4), Porta, M., Gasull, M., Puigdomènech, E., Garí, M., de Basea, M.B., Guillén, M., López, T., Bigas, E., Pumarega, J., Llebaria, X., Grimalt, J.O. and Tresserras, R. (2010) Distribution of blood concentrations of persistent organic pollutants in a representative sample of the population of Catalonia Environment International, 36, Ruiz, E., Bolancé, C. and Fontanals, H. (2010) Testing the shape of international term structure of interest rate International Journal of Financial Markets and Derivatives, 1, Santolino, M. (2010) Determinants of the decision to appeal against motor bodily injury judgements made by Spanish trial courts International Review of Law and Economics, 30,

14 16. Santolino, M. and Boucher, J.P. (2011) Modelling the disability severity score in motor insurance claims: an application to the Spanish case Journal of Financial Decision Making, 6(2), Solé-Auró, A., Mompart Penina, A., Brugulat Guiterras, P. and Guillén, M. (2010) Inmigración y uso de servicios sanitarios en tres zonas sanitarias de Cataluña [Immigration and use of medical services in three Catalan health zones] Revista Española de Economía de la Salud, 9(2), Valls, N. and Chuliá H. (2010) Análisis de volatilidad y correlación entre EE.UU y Asia Cuadernos de Economía, 33, Abad, P. and Benito, S. (2009) Accuracy of VaR calculated using empirical models of the term structure International Journal of Theoretical & Applied Finance, 12(6), Albarrán, I., Alonso, P. and Bolancé, C. (2009) Comparación de los baremos español, francés y alemán para medir la dependencia de las personas con discapacidad y sus prestaciones Revista Española de Salud Pública, 83, Bermúdez, L. (2009) A priori ratemaking using bivariate Poisson regression models Insurance: Mathematics and Economics, 44(1), Bermúdez, L. (2009) Métodos estocásticos para el cálculo de la provisión técnica de prestaciones pendientes en solvencia II Revista Cuadernos Actuariales, 13, Bermúdez, L., Guillén, M. and Solé-Auró, A. (2009) Escenarios del impacto de la inmigración en la longevidad y dependencia de los mayores en la población española Revista Española de Geriatría y Gerontología, 44(1), Boucher, J.P. and Guillén, M. (2009) A survey on models for panel count data with applications to insurance RACSAM, Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales, Serie A, Matemáticas, 103(2), Boucher, J.P., Denuit, M. and Guillén, M. (2009) Number of accidents or number of claims? An approach with zero-inflated Poisson models for panel data Journal of Risk and Insurance, 76(4), Chuliá, H., Climent, F.J., Soriano, P. and Torró, H. (2009) Volatility transmission patterns and terrorist attacks Quantitative Finance, 9(5), D Amico, G., Guillén, M. and Manca, R. (2009) Full backward non-homogeneous semi- Markov processes for disability insurance models: a Catalunya real data application Insurance: Mathematics and Economics, 45(2), Gómez-Puig, M. (2009) Systemic and idiosyncratic risk in EU-15 sovereign yield spreads after seven years of monetary union European Financial Management, 15(5), Gómez-Puig, M. (2009) The immediate effect of monetary union over EU-15 s sovereign debt yield spreads Applied Economics, 41(7), Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2009) Cross-buying behaviour and customer loyalty in the insurance sector ESIC Market, 132,

15 31. Abad, P. and Robles, M.D. (2008) A Two-Factor Model for Valuation of Interest Rate Swaps: Case Study of Pre-EMU Swaps in Pesetas The Business Review, 11(1), Ayuso, M. and Albarrán, I. (2008) The mediterranean zone: insurance markets current status and prospects for the future Pravartak The Journal of Insurance and Risk Management, 3(4), Ayuso, M. and Guillén, M. (2008) Fraud in insurance in Melnick, E. and Everett, B. (Eds) Encyclopedia of Quantitative Risk Assessment and Analysis, John Wiley & Sons Ltd., Ayuso, M. and Santolino, M. (2008) Prediction of individual automobile reported but not settled claim reserves for bodily injuries in the context of solvency II Journal of Quantitative Methods for Economics and Business Administration, 6, Bermúdez, L., Blay, D. and Guillén, M. (2008) Análisis de la aparición de discapacidades en personas mayores de Cataluña Revista de Métodos Cuantitativos para la Economía y la Empresa, 5, Bermúdez, L., Bolancé, C., Guillén, M. and Mustafa, K. (2008) Tipologías sociodemográficas de individuos con dependencia en España y su supervivencia en estado de salud Revista Española de Geriatría y Gerontología, 43(1), Bermúdez, L. and Guillén, M. (2008) Algunas implicaciones sociales y económicas de la longevidad y la dependencia Zerbitzuan, 44, Bermúdez, L. and Guillén, M. (2008) La despesa social davant l'evolució demogràfica de l envelliment; el paper de les polítiques públiques Quaderns d Acció Social i Ciutadania, 4, Bermúdez, L., Pérez, J.M., Ayuso, M., Gómez, E. and Vázquez, F.J. (2008) A bayesian dichotomous model with asymmetric link for fraud in insurance Insurance: Mathematics and Economics, 42(2), Bermúdez, L. and Santolino, M. (2008) Metodología para el cálculo de la provisión por siniestros de daños corporales pendientes de liquidación y pago Revista Española de Seguros, 135, Bolancé, C. Guillén, M. and Nielsen, J.P. (2008) Inverse Beta transformation in kernel density estimation Statistics & Probability Letters, 78, Bolancé, C., Guillén, M., Pelican, E. and Vernic, R. (2008) Skewed bivariate models and nonparametric estimation for the CTE risk measure Insurance: Mathematics and Economics, 43(3), Bolancé, C., Guillén, M. and Pinquet, J. (2008) On the link between credibility and frequency premium Insurance: Mathematics and Economics, 43(2), Boucher, J.P., Denuit, M. and Guillén, M. (2008) Models of insurance claim counts with time dependence based on generalisation of Poisson and negative binomial distributions Variance, 2(1), Brockett, P. L., Golden, L., Guillén, M., Nielsen, J.P., Parner, J. and Pérez-Marín, A.M. (2008) Survival analysis of a household portfolio of insurance policies: how much time do you have to stop total customer defection? Journal of Risk and Insurance, 75(3),

16 46. Chuliá, H. and Torró, H. (2008) The economic value of volatility transmission between stocks and bonds The Journal of Futures Markets, 8(11), Englund, M., Guillén, M., Gustafsson, J., Nielsen, L.H. and Nielsen, J.P. (2008) Multivariate latent risk: a credibility approach Astin Bulletin, 38(1), Escuder, J., Escuder, R., Pavía, J.M. and Guillén, M. (2008) Determinación de los tantos brutos de mortalidad Anales del Instituto de Actuarios Españoles, 14, Gómez-Puig, M. (2008) Monetary integration and the cost of borrowing Journal of International Money and Finance, 27, Guillén, M. (2008) Longevitat i dependència. Implicacions socials i econòmiques Barcelona Societat, 14, Guillén, M., Gustafsson, J. and Nielsen, J.P. (2008) Combining underreported internal and external data for operational risk measurement Journal of Operational Risk, 3(4), Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2008) The need to monitor customer loyalty & business risk in the European insurance industry Geneva Papers on Risk and Insurance-Issues and Practice, 33(2), Guillén, M., Høgh, N., Nielsen, J.P. and Pérez-Marín, A.M. (2008) Froot and Stein revisited once again Annals of Actuarial Science, 3(1-2), Guillén, J. and Pinquet, J. (2008) Long-term care: risk description of a Spanish portfolio and economic analysis of the timing of insurance purchase Geneva Papers on Risk and Insurance-Issues and Practice, 33, Pelegrín, A. and Bolancé, C. (2008) Regional foreing investment in manufacturing. Do agglomeration economies matter? Regional Studies, 42, Pérez-Marín, A.M. (2008) Empirical comparison between the Nelson-Aalen estimator and the naive local constant estimator Statistics and Operations Research Transactions, 32(1), Rodríguez, E., Alvarez, B. and Abad, P. (2008) Racionamiento vía listas de espera: medidas de mejora y posibles implicaciones Reports in Public Health / Cuadernos de Saúde Pública, 24(3), Sarabia, J.M. and Guillén, M. (2008) Joint modelling of the total amount and the number of claims by conditionals Insurance: Mathematics and Economics, 43(2), Solé-Auró, A. and Crimmins, E.M. (2008) Health of immigrants in European countries International Migration Review, 42(4), Abad, P. and Benito, S. (2007) Value at risk in fixed income portfolios: a comparison between empirical models of term structure The Business Review, 7(2), Abad, P. and Robles, M.D. (2007) Bond rating changes and stock returns: new evidence from the Spanish stock market Spanish Economic Review, 9(2), Albarrán, I., Alonso, P. and Bolancé, C. (2007) La población dependiente española según la EDDES: análisis y clasificación Anales del Instituto de Actuarios Españoles, 12,

17 63. Artís, M., Ayuso, M., Guillén, M. and Monteverde, M. (2007) Una estimación actuarial del coste individual de la dependencia en la población de mayor edad en España Estadística Española, 49(165), Ayuso, M. and Santolino, M. (2007) Una revisión metodológica de la valoración actuarial de los siniestros con daños corporales en el seguro del automóvil Anales del Instituto de Actuarios Españoles, 13, Ayuso, M. and Santolino, M. (2007) Predicting automobile claims bodily injury severity with sequential ordered logit models Insurance: Mathematics and Economics, 41(1), Ayuso, M., Guillén, M. and Santolino, M. (2007) El pricing en el seguro del automóvil Cuadernos Actuariales, 11, Bolancé, C., Denuit, M., Guillén, M. and Lambert, Ph. (2007) Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model Belgian Actuarial Bulletin, 7(1), Boucher, J.P., Denuit, M. and Guillén, M. (2007) Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models North American Actuarial Journal, 11(4), Carrillo, M., Bermúdez, L. and Guillén, M. (2007) Solidaridad entre asegurados, existen alternativas a los sistemas bonus-malus en uso? Anales del Instituto de Actuarios Españoles, 10, Chuliá, H. and Torró, H. (2007) Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas en la Bolsa española Investigaciones Económicas, 21, Delwarde, A., Denuit, M., Guillén, M. and Vidiella-i-Anguera, A. (2007) Application of the Poisson log-bilinear projection model to the G5 mortality experience Belgian Actuarial Bulletin, 6(1), Guillén, M., Ayuso, M. and Pinquet, J. (2007) Economic & statistical models on insurance fraud Pravartak, , July-Sep. 73. Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2007) Improving the efficiency of the Nelson-Aalen estimator: the naive local constant estimator Scandinavian Journal of Statistics, 34, Guillén, M., Nielsen, J. P. and Pérez-Marín, A.M. (2007) Comparación de planes de pensiones desde la perspectiva del inversor Anales del Instituto de Actuarios Españoles, 13, Guillén, M., Gustafsson, J., Nielsen, J.P. and Pritchard, P. (2007) Using external data in operational risk Geneva Papers of Risk and Insurance-Issues and Practice, 32(2), Gómez-Puig, M. (2007). Efectos de la Unión Cambiaria sobre los diferenciales de rentabilidad de la Unión Europea-15 Cuadernos de Economía, 30(32), Pinquet, J., Ayuso, M. and Guillén, M. (2007) Selection bias and auditing policies for insurance claims Journal of Risk and Insurance, 74(2),

18 78. Rodríguez, N. Guillén, M. and Strassberg, B.A. (2007) The new responsibilities of social sciences in aging societies. The case of Spain International Journal of Interdisciplinary Social Sciences, 2, Viaene, S., Ayuso, A., Guillén, M., VanGheel, D. and Dedene, G. (2007) Strategies to detect and prevent fraudulent claims in the automobile insurance industry European Journal of Operational Research, 176(1), Abad, P. and Robles, M.D. (2006) Impacto de los anuncios de cambio de rating en el mercado español de renta fija privada: rendimientos, TIR y liquidez Bolsa de Madrid, 159, Abad, P. and Robles, M.D. (2006) Risk and returns around bond rating changes announcements in Spanish stock market Journal of Business Finance and Accounting, 33(5-6), Abad, P. Álvarez, B., Rodríguez, E. and Rodríguez, A. (2006) Preferencias sociales en las decisiones públicas: priorización de pacientes en listas de espera quirúrgica Hacienda Pública Española/Revista de Economía Pública, 179(4), Ayuso, M. and Santolino, M. (2006) La valoración del daño corporal en Europa" Actualidad Aseguradora, 11, Gómez-Puig, M. (2006) Size matters for liquidity: evidence from EMU yield spreads Economics Letters, 9(2), Gómez-Puig, M. (2006) Tipos de cambio fijos e intervención en el mercado de divisas Información Comercial Española: Revista de Economía, 829, Guillén, M. and Blay, D. (2006) Coste de atención a la dependencia en España y comparación con los sistemas francés y alemán Revista Española de Seguros, 125, Guillén, M., Jorgensen, P.L. and Nielsen, J.P. (2006) Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims Insurance: Mathematics and Economics, 38(2), Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2006) La duración de distintos contratos de seguros en los hogares. Un enfoque integrado Gerencia de Riesgos y Seguros, 96(4), Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2006) La gestión aseguradora bajo el enfoque del multicontrato Revista Española de Seguros, 127, Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2006) Multiplicative hazard models for studying the evolution of mortality The Annals of Actuarial Science, 1(1), Pelegrín, A. and Bolancé, C. (2006) La distribución regional de la inversión extranjera manufacturera en España. Factores de localización en las industrias de alimentación, química y material de transporte Papeles de Economía Española, 107,

19 92. Abad, P. (2005) Credit, liquidity and market risk in the term structure of swaps in pesetas Revista de Economía Financiera, 5, Abad, P. and Novales, A. (2005) An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets Journal of International Financial Markets Institutions & Money, 15(3), Albarrán, I., Ayuso, M., Guillén, M. and Monteverde, M. (2005) A multiple state model for disability using the decomposition of death probabilities and cross-sectional data Communications in Statistics: Theory and Methods, 24(9), Alegre, A., Ayuso, M., Guillén, M., Monteverde, M. and Pociello, E. (2005) Medición de la tasa de prevalencia de la dependencia en España y criterios de valoración de la severidad Revista Española de Salud Pública, 79(3), Álvarez, R, Ayuso, M. and Bécue, M. (2005) Statistical study of judicial practice Lecture Notes in Artificial Intelligence, 3369, Álvarez, R., Ayuso, M., Bécue, M. and Valencia, O. (2005) What is for you a good judge? The study of the public opinion by means of the opened questions in a questionnaire International Review of Public and Non Profit Marketing, 2(1), Ayuso, M., Guillén, M., Pérez-Torres, J.L. and Albarrán, I (2005) Los mercados aseguradores del Arco Mediterráneo: cooperación para su desarrollo Gerencia de Riesgos y Seguros, 22(90), Buch-Larsen, T., Guillén, M., Nielsen, J.P. and Bolancé, C. (2005) Kernel density estimation for heavy-tailed distributions using the Champernowne transformation Statistics, 39(6), Caudill, S., Ayuso, M. and Guillén, M. (2005) Fraud detection using a multinomial logit model with missing information Journal of Risk and Insurance, 72(4), Chuliá, H., Pardo, A. and Torró, H. (2005) Contagios de volatilidad y estrategias de negociación entre acciones grandes y pequeñas Bolsa de Madrid, Contreras, A.B., Bolancé, C. and Cuevas, E. (2005) La eficiencia terminal en las universidades Expresión Económica. Revista de Análisis, 15, Gómez-Déniz, E., Bermúdez, L. and Morillo, I. (2005) Computing bonus-malus premiums under partial prior information British Actuarial Journal, 11(2), Gómez-Puig, M. (2005) Liquidez y tamaño del mercado: diferenciales de rentabilidad a largo plazo tras la UME Cuadernos de Economía, 77(28), Vidiella i Anguera, A. and Guillén, M. (2005) Forecasting Spanish natural life expectancy Risk Analysis, 25(5), Abad, P. (2004) Transmisión de la volatilidad a lo largo de la estructura temporal de swaps: evidencia internacional Revista Española de Financiación y Contabilidad, 123, Abad, P. (2004) Un contraste alternativo de la hipótesis de las expectativas en swaps de tipos de interés Revista de Economía Financiera, 2,

20 108. Abad, P. and Novales, A. (2004) Volatility transmission across the term structure of swap markets: international evidence Applied Financial Economics, 14, Alegre, A., Ayuso, M., Guillén, M., Monteverde, M. and Pociello, E. (2004) Avance de la tasa de prevalencia de la dependencia en España y criterios de valoración de la severidad Actuarios, 22, Benjamins, R., Contreras, J., Casanovas, P., Ayuso, M., Becue, M., Lemus, L. and Urios, C. (2004) Ontologies of professional legal knowledge as the basis for intelligent IT support for judges Artificial Intelligence and Law, 12(4), De Gooijer, J.G. and Vidiella i Anguera, A. (2004) Forecasting threshold cointegrated systems International Journal of Forecasting, 20, Fledelius, P., Guillén, M., Nielsen, J.P. and Petersen, K.S. (2004) A comparative study of parametric and non-parametric estimators of old-age mortality in Sweden Journal of Actuarial Practice, 11, Fledelius, P., Guillén, M., Nielsen, J.P. and Vogelius, M. (2004) Two-dimensional hazard estimation for longevity analysis Scandinavian Actuarial Journal, 2, Purcaru, O., Guillén, M., and Denuit, M. (2004) Linear credibility models based on time series for claim counts Belgian Actuarial Bulletin, 4, Viaene S., Van Gheel, D., Ayuso, M. and Guillén, M. (2004) Cost sensitive design of claim fraud screens Lecture Notes in Artificial Intelligence, 3275, Abad, P. (2003) El turismo rural en Galicia Revista Galega de Economía, 12(2), Abad, P. (2003) Inestabilidad entre los tipos forward y los tipos de contado futuros en la estructura temporal del mercado de swaps de tipos de interés Moneda y Crédito, 217, Abad, P. and Robles, M.D. (2003) Contienen los cambios de rating información relevante para los inversores del mercado español? Bolsa de Madrid, 124, Abad, P. and Robles, M.D. (2003) La estructura temporal de los tipos de interés: teoría y Evidencia empírica Revista Asturiana de Economía, 27, Abad, P., Miles, D. and González, X. (2003) Empleo y productividad de trabajo: un análisis descriptivo para la industria gallega y española Revista Galega de Economía, 12(1), Artís, M., Ayuso, M. and Guillén, M. (2003) Approximated perfect values in logistic regression for prediction and outlier detection Communications in Statistics-Theory and Methods, 32(4), Bolancé, C., Guillén, M. and Nielsen, J.P. (2003) Kernel density estimation of actuarial loss functions Insurance: Mathematics and Economics, 32(1), Bolancé, C., Guillén, M. and Pinquet, J. (2003) Time-varying credibility for frequency risk models Insurance: Mathematics and Economics, 33(2),