Details about Montserrat Guillen

Access statistics for papers by Montserrat Guillen.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pgu117

Working Papers

2015

1. Estimación del riesgo mediante el ajuste de cópulas
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (2)
2. Less is more: increasing retirement gains by using an upside terminal wealth constraint
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (7)
3. Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (2)
4. On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (2)
5. The use of flexible quantile-based measures in risk assessment
   Working Papers, Universitat de Barcelona, UB Riskcenter
   Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2013)
6. What attitudes to risk underlie distortion risk measure choices?
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (4)

2014

7. A joint longitudinal and survival model with health care usage for insured elderly
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (5)
8. Accounting for severity of risk when pricing insurance products
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (3)
9. Non-parametric Models for Univariate Claim Severity Distributions - an approach using R
   Working Papers, Universitat de Barcelona, UB Riskcenter View citations (4)
10. Optimal personalized treatment rules for marketing interventions: A review of methods, a new proposal, and an insurance case study
    Working Papers, Universitat de Barcelona, UB Riskcenter View citations (5)
11. The environmental effects of changing speed limits: a quantile regression approach
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP)

2013

12. Beyond Value-at-Risk: GlueVaR Distortion Risk Measures
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
13. Indicators for the characterization of discrete Choquet integrals
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
14. Prevalence of alcohol-impaired drivers based on random breath tests in a roadside survey
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics
    Also in Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) (2013)

2012

15. Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (1)
16. How to use the standard model with own data?
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP)
17. Nonparametric estimation of Value-at-Risk
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (2)
18. Solvency Capital estimation and Risk Measures
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (1)
19. The connection between distortion risk measures and ordered weighted averaging operators
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (2)
    See also Journal Article The connection between distortion risk measures and ordered weighted averaging operators, Insurance: Mathematics and Economics, Elsevier (2013) View citations (12) (2013)

2011

20. A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (1)
    Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2011) View citations (1)
21. A logistic regression approach to estimating customer profit loss due to lapses in insurance
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (1)
22. Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (5)
23. How much risk is mitigated by LTC Insurance? A case study of the public system in Spain
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (7)
24. Loss risk through fraud in car insurance
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (33)

2010

25. An introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (1)
26. Prediction of the economic cost of individual long-term care in the Spanish population
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (1)
    Also in Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) (2010) View citations (1)

2009

27. 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 Papers, Xarxa de Referència en Economia Aplicada (XREAP)
    Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2009)
28. Transformation kernel density estimation of actuarial loss functions
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia View citations (1)

2007

29. Impacto de la Immigración sobre la Esperanza de Vida en Salud y en Discapacidad de la Población Española
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP)
30. On the link between credibility and frequency premium
    Working Papers, HAL
    See also Journal Article On the link between credibility and frequency premium, Insurance: Mathematics and Economics, Elsevier (2008) View citations (8) (2008)

2006

31. Calculation of the variance in surveys of the economic climate
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (9)
    Also in Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) (2006) View citations (2)
32. Time-varying effects when analysing customer lifetime duration, application to the insurance market
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics View citations (34)

2002

33. Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
    See also Journal Article Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects, Insurance: Mathematics and Economics, Elsevier (2003) View citations (22) (2003)

2001

34. Two-Dimensional Hazard Estimation for Longevity Analysis
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)

2000

35. ESTIMATION OF ACTUARIAL LOSS FUNCTIONS AND THE TAIL INDEX USING TRANSFORMATIONS IN KERNEL DENSITY ESTIMATION
    Computing in Economics and Finance 2000, Society for Computational Economics
36. Kernel Density Estimation of Actuarial Loss Functions
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (2)
    See also Journal Article Kernel density estimation of actuarial loss functions, Insurance: Mathematics and Economics, Elsevier (2003) View citations (26) (2003)
37. Long-range contagion in automobile insurance data: estimation and implications for experience rating
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (5)
38. Longevity Studies Based on Kernel Hazard Estimation
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
    See also Journal Article Longevity studies based on kernel hazard estimation, Insurance: Mathematics and Economics, Elsevier (2001) View citations (4) (2001)

1999

39. Pension Reform in Spain (1975-1997): the Role of Organized Labour
    Working Papers, European Institute - European Forum

1998

40. An application of the transformed kernel density estimation to labor earnings in Spain
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia

1995

41. On the Repayment of Personal Loans Under Asymmetrical Information: A Count Data Model Approach
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (1)
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1995) View citations (2)
42. Ownership Structure and Distribution Systems in Property-Liability Insurance
    Working Papers, Risk and Insurance Archive

1994

43. COUNT DATA MODELS FOR A CREDIT SCORING SYSTEM
    Working Papers, Risk and Insurance Archive
    Also in Risk and Insurance, University Library of Munich, Germany (1994)
    See also Journal Article Count data models for a credit scoring system, Journal of Empirical Finance, Elsevier (1996) View citations (27) (1996)

Journal Articles

2021

1. Using risk analytics to prevent accidents before they occur – the future of insurance
   Journal of Financial Transformation, 2021, 54, 76-83

2014

2. A survey of personalized treatment models for pricing strategies in insurance
   Insurance: Mathematics and Economics, 2014, 58, (C), 68-76 View citations (5)
3. Bringing cost transparency to the life annuity market
   Insurance: Mathematics and Economics, 2014, 56, (C), 14-27 View citations (31)
4. GlueVaR risk measures in capital allocation applications
   Insurance: Mathematics and Economics, 2014, 58, (C), 132-137 View citations (10)

2013

5. A Comparison between General Population Mortality and Life Tables for Insurance in Mexico under Gender Proportion Inequality || Una comparación entre la mortalidad de la población general y las tablas de vida de los seguros en México ante porcentajes desiguales de género
   Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2013, 16, (1), 47-67
6. A Robust Unsupervised Method for Fraud Rate Estimation
   Journal of Risk & Insurance, 2013, 80, (1), 121-143 View citations (6)
7. A nonparametric approach to calculating value-at-risk
   Insurance: Mathematics and Economics, 2013, 52, (2), 255-262 View citations (13)
8. Exchanging uncertain mortality for a cost
   Insurance: Mathematics and Economics, 2013, 52, (1), 65-76 View citations (16)
9. SISTEMA PÚBLICO DE DEPENDENCIA Y REDUCCIÓN DEL COSTE INDIVIDUAL DE CUIDADOS A LO LARGO DE LA VIDA
   Revista de Economia Aplicada, 2013, 21, (1), 97-117 View citations (1)
10. Seguros Agricolas en Mexico
    Revista Global de Negocios, 2013, 1, (1), 97-105
11. Simple risk measure calculations for sums of positive random variables
    Insurance: Mathematics and Economics, 2013, 53, (1), 273-280 View citations (8)
12. The connection between distortion risk measures and ordered weighted averaging operators
    Insurance: Mathematics and Economics, 2013, 52, (2), 411-420 View citations (12)
    See also Working Paper The connection between distortion risk measures and ordered weighted averaging operators, IREA Working Papers (2012) View citations (2) (2012)

2012

13. Health care usage among immigrants and native-born elderly populations in eleven European countries: results from SHARE
    The European Journal of Health Economics, 2012, 13, (6), 741-754 View citations (19)
14. 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, 2012, 37, (4), 712-724
15. Quantitative modeling of operational risk losses when combining internal and external data
    Journal of Financial Transformation, 2012, 35, 179-185

2011

16. Commitment and Lapse Behavior in Long‐Term Insurance: A Case Study
    Journal of Risk & Insurance, 2011, 78, (4), 983-1002 View citations (4)
17. El coste de los cuidados de larga duración en la población española: análisis comparativo entre los años 1999 y 2008 || The Cost of Long-Term Care in the Spanish Population Comparative Analysis between 1999 and 2008
    Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2011, 12, (1), 111-131
18. Modelling losses and locating the tail with the Pareto Positive Stable distribution
    Insurance: Mathematics and Economics, 2011, 49, (3), 454-461 View citations (22)
19. Multivariate density estimation using dimension reducing information and tail flattening transformations
    Insurance: Mathematics and Economics, 2011, 48, (1), 99-110 View citations (5)

2009

20. Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
    Insurance: Mathematics and Economics, 2009, 45, (2), 173-179 View citations (14)
21. Number of Accidents or Number of Claims? An Approach with Zero‐Inflated Poisson Models for Panel Data
    Journal of Risk & Insurance, 2009, 76, (4), 821-846 View citations (27)

2008

22. Análisis de la aparición de discapacidades en personas mayores de Cataluña = Analysis of disability onset of the elderly in Catalonia
    Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2008, 5, (1), 3-16
23. Inverse beta transformation in kernel density estimation
    Statistics & Probability Letters, 2008, 78, (13), 1757-1764 View citations (17)
24. Joint modelling of the total amount and the number of claims by conditionals
    Insurance: Mathematics and Economics, 2008, 43, (3), 466-473 View citations (6)
25. Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2008, 33, (4), 659-672 View citations (2)
26. On the link between credibility and frequency premium
    Insurance: Mathematics and Economics, 2008, 43, (2), 209-213 View citations (8)
    See also Working Paper On the link between credibility and frequency premium, Working Papers (2007) (2007)
27. Skewed bivariate models and nonparametric estimation for the CTE risk measure
    Insurance: Mathematics and Economics, 2008, 43, (3), 386-393 View citations (34)
28. Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection?
    Journal of Risk & Insurance, 2008, 75, (3), 713-737 View citations (11)
29. The Need to Monitor Customer Loyalty and Business Risk in the European Insurance Industry
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2008, 33, (2), 207-218 View citations (3)

2007

30. Improving the Efficiency of the Nelson–Aalen Estimator: the Naive Local Constant Estimator
    Scandinavian Journal of Statistics, 2007, 34, (2), 419-431
31. Selection Bias and Auditing Policies for Insurance Claims
    Journal of Risk & Insurance, 2007, 74, (2), 425-440 View citations (7)
32. Strategies for detecting fraudulent claims in the automobile insurance industry
    European Journal of Operational Research, 2007, 176, (1), 565-583 View citations (20)
33. Using External Data in Operational Risk
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, 32, (2), 178-189 View citations (5)

2006

34. Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
    Insurance: Mathematics and Economics, 2006, 38, (2), 229-252 View citations (22)

2005

35. Fraud Detection Using a Multinomial Logit Model With Missing Information
    Journal of Risk & Insurance, 2005, 72, (4), 539-550 View citations (18)

2003

36. Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments
    Journal of Risk & Insurance, 2003, 70, (4), 577-599 View citations (21)
37. Kernel density estimation of actuarial loss functions
    Insurance: Mathematics and Economics, 2003, 32, (1), 19-36 View citations (26)
    See also Working Paper Kernel Density Estimation of Actuarial Loss Functions, Finance Working Papers (2000) View citations (2) (2000)
38. Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects
    Insurance: Mathematics and Economics, 2003, 33, (2), 273-282 View citations (22)
    See also Working Paper Time-varying credibility for frequency risk models: Estimation and tests for autoregressive specifications on the random effects, THEMA Working Papers (2002) View citations (2) (2002)

2001

39. Longevity studies based on kernel hazard estimation
    Insurance: Mathematics and Economics, 2001, 28, (2), 191-204 View citations (4)
    See also Working Paper Longevity Studies Based on Kernel Hazard Estimation, Finance Working Papers (2000) (2000)

1999

40. Modelling different types of automobile insurance fraud behaviour in the Spanish market
    Insurance: Mathematics and Economics, 1999, 24, (1-2), 67-81 View citations (28)

1996

41. Count data models for a credit scoring system
    Journal of Empirical Finance, 1996, 3, (3), 303-325 View citations (27)
    See also Working Paper COUNT DATA MODELS FOR A CREDIT SCORING SYSTEM, Working Papers (1994) (1994)

Edited books

2006

1. Longevidad y dependencia en España: consecuencias sociales y económicas
   Books, Fundacion BBVA / BBVA Foundation