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Details about Montserrat Guillen

E-mail:
Homepage:http://www.ub.es/riskcenter/mge.html
Phone:+34934037039
Postal address:Av. Diagonal, 690 08034 Barcelona Spain
Workplace:Riskcenter, Institut de Recerca en Economia Aplicada (IREA) (Research Institute of Applied Economics), Facultat d'Economia i Empresa (Faculty of Economics and Business), Universitat de Barcelona (University of Barcelona), (more information at EDIRC)

Access statistics for papers by Montserrat Guillen.

Last updated 2015-07-26. Update your information in the RePEc Author Service.

Short-id: pgu117


Jump to Journal Articles Edited books

Working Papers

2015

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

2014

  1. A joint longitudinal and survival model with health care usage for insured elderly
    Working Papers, Universitat de Barcelona, UB Riskcenter Downloads View citations (2)
  2. Accounting for severity of risk when pricing insurance products
    Working Papers, Universitat de Barcelona, UB Riskcenter Downloads View citations (1)
  3. Non-parametric Models for Univariate Claim Severity Distributions - an approach using R
    Working Papers, Universitat de Barcelona, UB Riskcenter Downloads View citations (1)
  4. 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 Downloads View citations (2)
  5. The environmental effects of changing speed limits: a quantile regression approach
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads

2013

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

2012

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

2011

  1. A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads View citations (1)
    Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2011) Downloads View citations (1)
  2. A logistic regression approach to estimating customer profit loss due to lapses in insurance
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads
  3. Commitment and Lapse Behavior in Long-Term Insurance: A Case Study
    Post-Print, HAL Downloads View citations (8)
    See also Journal Article in Journal of Risk & Insurance (2011)
  4. Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads View citations (4)
  5. 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) Downloads View citations (6)
  6. Loss risk through fraud in car insurance
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads

2010

  1. An introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads View citations (1)
  2. 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 Downloads View citations (1)
    Also in Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) (2010) Downloads View citations (1)

2009

  1. 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) Downloads
    Also in IREA Working Papers, University of Barcelona, Research Institute of Applied Economics (2009) Downloads
  2. Transformation kernel density estimation of actuarial loss functions
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia Downloads

2008

  1. Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in The Geneva Papers on Risk and Insurance - Issues and Practice (2008)

2007

  1. 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) Downloads
  2. On the link between credibility and frequency premium
    Working Papers, HAL Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2008)
  3. Selection bias and auditing policies for insurance claims
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Journal of Risk & Insurance (2007)

2006

  1. Calculation of the variance in surveys of the economic climate
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics Downloads View citations (9)
    Also in Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) (2006) Downloads View citations (2)
  2. Time-varying effects when analysing customer lifetime duration, application to the insurance market
    IREA Working Papers, University of Barcelona, Research Institute of Applied Economics Downloads View citations (18)

2002

  1. 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 Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2003)

2001

  1. 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

  1. 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 Downloads
  2. Kernel Density Estimation of Actuarial Loss Functions
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2003)
  3. 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 Downloads View citations (5)
  4. Longevity Studies Based on Kernel Hazard Estimation
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2001)

1999

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

1998

  1. 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

  1. 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
    Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1995) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
  2. Ownership Structure and Distribution Systems in Property-Liability Insurance
    Working Papers, Risk and Insurance Archive

1994

  1. COUNT DATA MODELS FOR A CREDIT SCORING SYSTEM
    Risk and Insurance, University Library of Munich, Germany Downloads
    Also in Working Papers, Risk and Insurance Archive (1994)

    See also Journal Article in Journal of Empirical Finance (1996)

Journal Articles

2014

  1. A survey of personalized treatment models for pricing strategies in insurance
    Insurance: Mathematics and Economics, 2014, 58, (C), 68-76 Downloads View citations (2)
  2. Bringing cost transparency to the life annuity market
    Insurance: Mathematics and Economics, 2014, 56, (C), 14-27 Downloads View citations (8)
  3. GlueVaR risk measures in capital allocation applications
    Insurance: Mathematics and Economics, 2014, 58, (C), 132-137 Downloads View citations (5)

2013

  1. 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 Downloads
  2. A Robust Unsupervised Method for Fraud Rate Estimation
    Journal of Risk & Insurance, 2013, 80, (1), 121-143 Downloads View citations (1)
  3. A nonparametric approach to calculating value-at-risk
    Insurance: Mathematics and Economics, 2013, 52, (2), 255-262 Downloads View citations (6)
  4. Exchanging uncertain mortality for a cost
    Insurance: Mathematics and Economics, 2013, 52, (1), 65-76 Downloads View citations (4)
  5. 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 Downloads View citations (1)
  6. Simple risk measure calculations for sums of positive random variables
    Insurance: Mathematics and Economics, 2013, 53, (1), 273-280 Downloads View citations (5)
  7. The connection between distortion risk measures and ordered weighted averaging operators
    Insurance: Mathematics and Economics, 2013, 52, (2), 411-420 Downloads View citations (10)
    See also Working Paper (2012)

2012

  1. 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 Downloads View citations (10)
  2. 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 Downloads
  3. Quantitative modeling of operational risk losses when combining internal and external data
    Journal of Financial Transformation, 2012, 35, 179-185

2011

  1. Commitment and Lapse Behavior in Long‐Term Insurance: A Case Study
    Journal of Risk & Insurance, 2011, 78, (4), 983-1002 Downloads View citations (1)
    See also Working Paper (2011)
  2. 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 Downloads
  3. Modelling losses and locating the tail with the Pareto Positive Stable distribution
    Insurance: Mathematics and Economics, 2011, 49, (3), 454-461 Downloads View citations (18)
  4. Multivariate density estimation using dimension reducing information and tail flattening transformations
    Insurance: Mathematics and Economics, 2011, 48, (1), 99-110 Downloads View citations (5)

2010

  1. Seguros Agricolas en Mexico
    Revista Global de Negocios, 2010, 1, (1), 97-105 Downloads

2009

  1. 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 Downloads View citations (9)
  2. 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 Downloads View citations (9)

2008

  1. 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 Downloads
  2. Inverse beta transformation in kernel density estimation
    Statistics & Probability Letters, 2008, 78, (13), 1757-1764 Downloads View citations (13)
  3. Joint modelling of the total amount and the number of claims by conditionals
    Insurance: Mathematics and Economics, 2008, 43, (3), 466-473 Downloads View citations (5)
  4. 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 Downloads View citations (2)
    See also Working Paper (2008)
  5. On the link between credibility and frequency premium
    Insurance: Mathematics and Economics, 2008, 43, (2), 209-213 Downloads View citations (6)
    See also Working Paper (2007)
  6. Skewed bivariate models and nonparametric estimation for the CTE risk measure
    Insurance: Mathematics and Economics, 2008, 43, (3), 386-393 Downloads View citations (25)
  7. 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 Downloads View citations (7)
  8. 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 Downloads View citations (2)

2007

  1. Improving the Efficiency of the Nelson–Aalen Estimator: the Naive Local Constant Estimator
    Scandinavian Journal of Statistics, 2007, 34, (2), 419-431 Downloads
  2. Selection Bias and Auditing Policies for Insurance Claims
    Journal of Risk & Insurance, 2007, 74, (2), 425-440 Downloads View citations (3)
    See also Working Paper (2007)
  3. Strategies for detecting fraudulent claims in the automobile insurance industry
    European Journal of Operational Research, 2007, 176, (1), 565-583 Downloads View citations (12)
  4. Using External Data in Operational Risk
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2007, 32, (2), 178-189 Downloads View citations (4)

2006

  1. Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
    Insurance: Mathematics and Economics, 2006, 38, (2), 229-252 Downloads View citations (14)

2005

  1. Fraud Detection Using a Multinomial Logit Model With Missing Information
    Journal of Risk & Insurance, 2005, 72, (4), 539-550 Downloads View citations (9)

2003

  1. Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments
    Journal of Risk & Insurance, 2003, 70, (4), 577-599 Downloads View citations (13)
  2. Kernel density estimation of actuarial loss functions
    Insurance: Mathematics and Economics, 2003, 32, (1), 19-36 Downloads View citations (20)
    See also Working Paper (2000)
  3. 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 Downloads View citations (16)
    See also Working Paper (2002)

2001

  1. Longevity studies based on kernel hazard estimation
    Insurance: Mathematics and Economics, 2001, 28, (2), 191-204 Downloads View citations (3)
    See also Working Paper (2000)

1999

  1. Modelling different types of automobile insurance fraud behaviour in the Spanish market
    Insurance: Mathematics and Economics, 1999, 24, (1-2), 67-81 Downloads View citations (19)

1996

  1. Count data models for a credit scoring system
    Journal of Empirical Finance, 1996, 3, (3), 303-325 Downloads View citations (21)
    See also Working Paper (1994)

Edited books

2006

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