Working Papers
2015
Ayuso, M., Bravo, J. and Holzmann, R (2015) "Indicadores demográficos alternativos en el cálculo de las proyecciones de población para España y Portugal”, Documentos de trabajo Instituto BBVA de Pensiones, 11, 1-22.
Bolancé, C., Bahraoui,Z. and Alemany, R. (2015) "Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP2015-01.
Donnelly, C., Guillén, M., Nielsen, J.P. and Pérez-Marín, A.M. (2015) "On the practical implementation of retirement gains by using an
upside and a downside terminal wealth constraint”, UB Riskcenter Working
Papers Series 2015-07.
Solé-Auró, A., and Alcañiz, M. (2015) "Is the educational health gap increasing for women? Results from Catalonia (Spain)”, UB Riskcenter Working
Papers Series 2015-06.
Belles-Sampera, J., Guillén, M. and Santolino, M. (2015) "What attitudes to risk underlie distortion risk measure choices?”, UB Riskcenter Working
Papers Series 2015-05.
Alaminos, E. and Ayuso, M. (2015) "Desarrollo metodológico del modelo actuarial de múltiples estados casado–viudo y cálculo actuarial del coste por pensiones de jubilación y viudedad”, UB Riskcenter Working
Papers Series 2015-04.
Chuliá, H., Guillén, M. and Uribe, J.M. (2015) "Mortality and longevity risks in the
United Kingdom: Dynamic factor
models and copula-functions”, UB Riskcenter Working
Papers Series 2015-03.
Donnelly, C., Guerrard, R., Guillén, M. and Nielsen, J.P. (2015) "Less is more: increasing retirement
gains by using an upside terminal
wealth constraint”, UB Riskcenter Working
Papers Series 2015-02.
Bolancé, C., Guillén, M. and Padilla, A. (2015) "Estimación del riesgo mediante el
ajuste de cópulas”, UB Riskcenter Working
Papers Series 2015-01.
Ayuso, M., Bravo, J.M. and Holzmann, R. (2015) "Population Projections Revisited:
Moving beyond convenient assumptions on fertility,
mortality and migration” [In Spanish],
[In English],
Documentos de trabajo Instituto BBVA de Pensiones, 10, 1-32.
2014
Abad, P. and Chuliá, H. (2014) "European
government
bond market integration in
turbulent times”, UB Riskcenter Working
Papers Series 2014-08.
Alemany, R., Bolancé, C. and
Guillén, M. (2014) "Accounting
for
severity of risk when pricing insurance
products”, UB Riskcenter Working Papers
Series 2014-05.
Ayuso, M. and Holzmann, R. (2014) "Natalidad, pirámide
poblacional y movimientos migratorios en
España: su efecto en el sistema de
pensiones”,
Documentos de trabajo Instituto BBVA de Pensiones, 8, 1-18.
Ayuso, M. and Holzmann, R. (2014) "Demographic drivers, population structures and pensions systems” [In Spanish], [In English]
Documentos de trabajo Instituto BBVA de Pensiones, 5, 1-12.
Ayuso, M. and Holzmann, R. (2014)
"Longevidad: un breve
análisis global y actuarial”,
Documentos de trabajo Instituto BBVA de Pensiones, 1, 1-14.
Belles-Sampera, J., Guillén, M. and Santolino, M. (2014) “The use of flexible quantile-based measures in risk assessment”, UB Riskcenter Working Papers Series 2014-09.
Bolancé, C., Guillén, M. and Pitt, D. (2014) “Non-parametric models for univariate claim severity distributions - an approach using R”, UB Riskcenter Working Papers Series 2014-01.
Claveria, O., Monte, E. and Torra, S. (2014) "A multivariate neural
network approach to tourism demand
forecasting", Working Paper 2014/17.
Research Institute of Applied Economics.
Gómez-Puig, M., Sosvilla-Rivero, S.
and Ramos-Herrera, M.C. (2014) “An update on EMU sovereign yields spreads
drivers in time of crisis: A panel data
analysis”, UB Riskcenter Working Papers
Series 2014-04.
Gómez-Puig, M. and Sosvilla-Rivero,
S. (2014) “Causality
and
contagion
in EMU sovereign debt markets”,
UB Riskcenter Working Papers Series 2014-03.
Guelman, L., Guillén, M. and
Pérez-Marin, A.M. (2014) "Optimal personalized treatment
rules for marketing interventions: A review of methods, a new
proposal, and an insurance case study”,
UB Riskcenter Working Papers Series 2014-06.
Mari del Cristo, L. and Gómez-Puig,
M. (2014) “Dollarization and the relationship between EMBI and
fundamentals in Latin American countries”,
UB Riskcenter Working Papers Series 2014-02.
Piulachs, X., Alemany, R. and Guillén, M. (2014) “A joint longitudinal and survival model with health care
usage for insured elderly”,
UB Riskcenter Working Papers Series 2014-07.
Solé-Auró, A. and Alcañiz, M.
(2014) “Are we living longer but less healthy?
Trends in mortality and morbidity in Catalonia
(Spain), 1994-2011”, XREAP-Xarxa de Referència
en Economia Aplicada, XREAP2014-01, 1-19.
Valls, N. and Culiá, H. (2014) "Volatility Transmission
between the Stock and Currency Markets in
Emerging Asia: the Impact of the Global
Financial Crisis", Working paper
2014/31, Research Institute of Applied
Economics.
2013
Abad, P. and Chuliá, H. (2013) “European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration”, Working paper 2013/25, Research Institute of Applied Economics.
Abad, P., Benito, S., Sánchez-Granero, M. A. and López, C. (2013) “Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis”, Documento de Trabajo 40-2013, Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid.
Abad, P., Benito, S. and López, C. (2013) “A Comprehensive Review of Value at Risk Methodologies”, Documento de Trabajo 711, FUNCAS Fundación de las Cajas de Ahorros.
Alcañiz, M., Guillén, M., Sánchez-Moscona, D., Santolino, M, Llatje, O. and Ramón, L. (2013) “Prevalence of alcohol-impaired drivers based on random breath tests in a roadside survey”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2013-05.
Belles-Sampera, J., Guillén, M. and Santolino, M. (2013) “Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”, Working paper 2013/02, Research Institute of Applied Economics.
Belles-Sampera, J., Guillén, M., Merigó, J.M. and Santolino, M. (2013) “Indicators for the characterization of discrete Croquet integrals”. Working Papers 2013/11, Research Institute of Applied Economics.
Belles-Sampera, J., Guillén, M. and Santolino, M. (2013) “The use of flexible quantile-based measures in risk assessment”. Working paper 2013/23, Research Institute of Applied Economics.
Bahraoui, Z., Bolancé, C. and Pérez-Marín, A.M. (2013) “esting extreme value copulas to estimate the quantile”. Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2013-09.
Claveria, O. and Torra, S. (2013) “Tourism demand forecasting with different neural networks models”. Working Paper 2013/21. Research Institute of Applied Economics.
Claveria, O., Monte, E. and Torra, S. (2013) “Forecasting Businesssurveys indicators: neural networks vs. time series models”. Working Paper 2013/20. Research Institute of Applied Economics.
Mari del Cristo, L. and Gómez-Puig, M. (2013) “Fiscal sustainability and fiscal shocks in a dollarized and oil- exporting country: Ecuador”. Working Papers 2013/06, Research Institute of Applied Economics.
Marí del Cristo, L. and Gómez-Puig, M. (2013) “Fiscal dynamics in a dollarized, oil-exporting country: Ecuador”. Working Papers on International Economics and Finance DEFI 13-06. October. AEEFI. ISNN: 1696-6376.
Osorio, A., Bolancé, C., Madise N. and Rathmann, K. (2013) “Social Determinants of Child Health in Colombia: Can Community Education Moderate the Effect of Family Characteristics?”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2013-02. Valls, N. and Chuliá, H. (2013) “The impact of US macroeconomic announcements on Emerging Asia” Working paper nº 712, Fundación de Cajas de Ahorros (FUNCAS).
Valls, N. and Chuliá, H. (2013) “The
impact of US macroeconomic announcements on
Emerging Asia”, Working paper 712, FUNCAS
Fundación de Cajas de Ahorros.
2012
Alemany, R., Bolancé, C. and Guillén, M. (2012) “Nonparametric estimation of Value-at-Risk”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-19.
Belles-Sampere, J., Merigó, J.M. and Santolino, M. (2012) “The connection beween distortion risk measures and ordered weighted averaging operators”, Working paper 2012/01, Research Institute of Applied Economics.
D’Amico, G., Guillén, M. and Manca, R. (2012) “Discrete time non-homogeneous semi-Markov processes applied to models for disability insurance”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-05.
Ferri, A., Guillén, M. and Bermúdez, L. (2012) “Solvency capital estimation and risk measures”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-02.
Ferri, A., Bermúdez, L. and Guillén, M. (2012) “How to use the standard model with own data?”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2012-03.
Marí del Cristo, L. andGómez-Puig, M. (2012) “Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar?”, Working Paper 2012/16, Research Institute of Applied Economics.
Osorio, A., Bolance, C. and Madise, N.
(2012) “Intermediary and structural
determinants of early childhood health in
Colombia: exploring the role of communities”,
Documents de treball de la Xarxa de Referència
en Economia Aplicada, XREAP 2012-13.
2011
Ayuso, M., Bermúdez, L. and Santolino, M. (2011) “Influence of the parties' behavioural features on motor compensation outcomes”, Working paper 2011/08, Research Institute of Applied Economics.
Ayuso, M., Guillén, M. and Bolancé, C. (2011) “Loss risk through fraud in car insurance”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-08.
Bermúdez, L., Ferri, A. and Guillén, M. (2011) “A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-12 and Working paper 2011/13, Research Institute of Applied Economics.
Bermúdez, L. and Karlis, D. (2011) “Mixture of bivariate Poisson regression models with an application to insurance”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-10.
Gómez-Puig, M., Abad, P. and Chuliá, H. (2011) “Time-varying integration in European government bond markets”, Documento de trabajo 611, FUNCAS.
Gómez-Puig, M. and Sosvilla-Rivero, S. (2011) “Causality and Contagion in Peripheral EMU Public Debt Markets: a Dynamic Approach”, Working Papers on International Economics and Finance Nº 11-06, AEEFI. ISNN: 1696-6376.
Guillén, M. and Comas-Herrera, A. (2011) “How much risk is mitigated by LTC Insurance? A case study of the public system in Spain”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-07.
Guillén, M., Pérez-Marín, A.M. and Alcañiz, M. (2011) “A logistic regression approach to estimating customer profit loss due to lapses in insurance”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-10.
Osorio, A., Bolancé, C. and Alcañiz, M. (2011) “Measuring Early Childhood Health: a composite index comparing Colombian departments”, Working paper 2011/22, Research Institute of Applied Economics.
Pitt, D., Guillén, M. and Bolancé, C. (2011) “Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2011-06.
Santolino, M. and Söderbeg, M. (2011) “The role of selection in drawing correct inference on factors influencing appealed rulings in two diverse legal settings”, in progress.
Santolino, M., Karlis, D. and Bermúdez, L. (2011) “The cost of rounding the work disability period resulting from motor accidents: a mixture discrete distribution to model the length of inability to work”, in progress.
Santolino, M., Bolancé, C. and Alcañiz, M. (2011) “Factors affecting hospital admission and recovery stay duration of in-patient motorvictims in Spain”, Working paper 2011/19, Research Institute of Applied Economics.
Santolino, M. and Söderberg, M. (2011)
“The influence of decision-maker effort and
case complexity on appealed rulings subject to
multi-categorical selection”, Working paper
2011/15, Research Institute of Applied
Economics.
2010
Bolancé, C., Alemany, R., and Guillén, M. (2010) “Prediction of the economic cost of individual long-term care in the Spanish population”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP2010-8 and Research Institute of Applied Economics 2010-11.
Bermúdez, L. and Karlis, D. (2010) “Modelling dependence in a ratemaking procedure with multivariate Poisson regression models”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2010-4.
Gómez-Puig, M. and Cuñado, J. (2010) “Monetary integration and risk diversification in EU-15 sovereign debt markets”, Documento de trabajo 498, FUNCAS.
Pitt, D. and Guillén, M. (2010) “An
introduction to parametric and non-parametric
models for bivariate positive insurance claim
severity distributions”, Documents de treball
de la Xarxa de Referència en Economia
Aplicada, XREAP 2010-3.
2009
Abad, P., Chuliá, H. and Gómez-Puig, M. (2009) “EMU and European government bond market integration”, Working Paper Series Nº 1079, European Central Bank.
Ayuso, M. and Santolino, M. (2009) “Individual prediction of automobile bodily injury claims liabilities”, Documents de treball de la Facultat d’Economia i Empresa, Col·lecció d’Economia, E09/220.
Ayuso, M., Bermúdez, L. and Santolino, M. (2009) “Factores influyentes en el coste de liquidación de los daños personales derivados de accidentes de circulación ante la futura reforma del baremo”, Investigaciones en Seguros y Gestión de riesgos: RIESGO 2009.
Bermúdez, L., Prieto, F. and Sarabia, J.M. (2009) “Valoración de derivados de crédito mediante distribuciones multivariantes tipo Marshall-Olkin”, Investigaciones en Seguros y Gestión de riesgos: RIESGO 2009.
Solé-Auró, A., Guillén, M. and Crimmins, E.M. (2009) “Health care utilization among immigrants and native-born populations in 11 European countries. Results from the survey of health, ageing and retirement in Europe”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2009-10.
Solé-Auró, A., Guillén, M. and Crimmins,
E.M. (2009) “Health care utilization among
immigrants and native-born populations in 11
European countries. Results from the survey of
health, ageing and retirement in Europe”,
Working Paper 2009/20, Research Institute of
Applied Economics.
2008
Abad, P., Díaz, A. and Robles, M.D. (2008) “Determinants of abnormal liquidity after rating actions in the corporate debt market”, Documento de Trabajo 427, FUNCAS.
Bermúdez, L. (2008). “A priori
ratemaking using bivariate Poisson regression
models”, Documents de treball de la Xarxa de
Referència en Economia Aplicada, XREAP
2008-09.
2007
Abad, P., Díaz, A. and Robles, M.D. (2007) “The impact of credit rating announcements on Spanish corporate fixed income performance: returns, yields and liquidity”, Documento de Trabajo 316, FUNCAS.
Bermúdez, L. (2007) “Modelos de regresión Poisson bivariante: aplicación a una cartera de seguros de Automóviles”, Investigaciones en Seguros y Gestión de riesgos: RIESGO 2007, 3-14.
Bermúdez, L.and Solé, A. (2007) “El impacto del desconocimiento de la tasa de prevalencia de las discapacidades en la población inmigrante sobre la esperanza de vida en salud en España” Investigaciones en Seguros y Gestión de riesgos: RIESGO 2007, 365-386.
Bermúdez, L., Guillén, M. and Solé-Auró, A. (2007) “Impacto de la inmigración sobre la esperanza de vida en salud y en discapacidad de la pobalción española”, Documents de treball de la Xarxa de Referència en Economia Aplicada, XREAP 2007-13.
Chuliá, H., Martens, M. and van Dijk, D. (2007) “The effect of fed funds target rate changes on S&P100 stock returns, volatilities and correlations”, ERIM Report Series 2007-66-F&A.
Chuliá, H., Climent, F.J., Soriano, P. and Torró, H. (2007) “Volatility transmission patterns and terrorist attacks”, Instituto Valenciano de Investigaciones Económicas (IVIE).
Gómez-Puig, M. (2007) “EU-15 sovereign governments’ cost of borrowing seven years after monetary union”, Working Papers on International Economics and Finance, DEFI 07-03, ISNN: 1696-6376 and Working Paper 2007/11, Research Institute of Applied Economics.
Rodríguez, E., Álvarez, B. and Abad, P.
(2007) “Modelos alternativos de gestión de las
listas de espera en sanidad: aplicación al
Servicio Galego de Saúde”, Papeles de Trabajo
WP71, Instituto de Estudios Económicos de
Galicia Pedro Barrié de la Maza.
2006
Abad, P. and Benito, S. (2006) “A parametric model to estimate risk in a fixed income portfolio”, Documento de Trabajo 300, FUNCAS.
Abad, P. and Benito, S. (2006) “Valor en riesgo en carteras de renta fija. Una comparación entre modelos empíricos de la estructura temporal”, Documento de Trabajo 0604, Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid.
Alcañiz, M., Costa, A., Guillén, M., Luna, C. and Rovira, C. (2006) “Calculation of the variance in surveys of the economic climate”, Working Paper 2006/5, Research Institute of Applied Economics.
Guillén, M., Nielsen, J.P., Scheike, T. and Pérez-Marín, A.M. (2006) “Time-varying effects when analysing customer lifetime duration: application to the insurance market”, Working Paper 2006/4, Research Institute of Applied Economics.
Gómez-Puig, M. (2006) “The impact of monetary union over EU-15’s sovereign debt yield spreads”, Documents de Treball, Espai de Recerca en Economia, Universitat de Barcelona, E06/142.
Pelegrín, A. and Bolancé, C. (2006) “Regional foreign direct investment in manufacturing: do agglomeration economies matter?”, Documents de Treball IEB, 2.
Ruiz, E., Fontanals, H. and Bolancé, C.
(2006) “Term structure of interest rates.
European financial integration”, Working
Papers in Economics, Universitat de Barcelona,
163.
2005
Gómez-Puig, M (2005) “The impact of monetary union over EU-15’s sovereign debt yield spreads”, Working Papers on International Economics and Finance, DEFI 05-11, ISNN: 1696-6376.
Gómez-Puig, M. (2005) “Monetary integration and the cost of borrowing”, Working Papers on International Economics and Finance, DEFI 05-05, ISNN: 1696-6376 and Documents de Treball, Espai de Recerca en Economia, Universitat de Barcelona, E05/134.
Gómez-Puig, M and Tremosa, R. (2005) “La
empresa familiar española y los mercados
bursátiles”, Estudios Sobre el Mercado de
Valores, Nº 36, Servicio de Estudios de la
Bolsa de Barcelona.
2004
Bolancé, C., Denuit, M., Guillén, M. and Lambert, Ph. (2004) “Bayesian experience rating with dynamic heterogeneity”, Working Paper 04-10, Institut des Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium.
Delwarde, A., Denuit, M., Guillén, M.
and Vidiella, A. (2004) “Application of the
Poisson log-bilinear projection model to the
G5 mortality experience”, Working Paper 04-11,
Institut des Sciences Actuarielles, Université
Catholique de Louvain, Louvain-la-Neuve,
Belgium.
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