Hiquest;gh, Linton and Nielsen (2006) showed that the famous result in the reward winning paper of Froot and Stein (1998) is not correct in the sense that their result does not follow from their assumptions. In this paper we show that the economic intuition behind the paper of Froot and Stein...

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal...

Se analiza la distribución individual del coste acumulado a lo largo de la vida de los cuidados de larga duración relacionados con la dependencia. A partir de la encuesta EDAD (INE, 2008), la tabla de mortalidad para la población española, el coste económico de los servicios de cuidados y...

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal...

We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. The simulation results show that our proposed kernel estimation...

We design a system for improving the calculation of the price to be charged for an insurance product. Standard pricing techniques generally take into account the expected severity of potential losses. However, the severity of a loss can be extremely high and the risk of a severe loss is not...

We study longevity and usage of medical resources of a sample of individuals aged 65 years or more who are covered by a private insurance policy. A longitudinal analysis is presented, where the yearly cumulative number of medical coverage requests by each subject characterizes insurance...

This paper questions the equidistribution assumption for the random effects in a frequency risk model. Two models are presented, which use parametric and nonparametric links between the variance of the random effect and frequency risk. They are estimated on a Spanish automobile insurance...

Two speed management policies were implemented in the metropolitan area of Barcelona aimed at reducing air pollution concentration levels. In 2008, the maximum speed limit was reduced to 80 km/h and, in 2009, a variable speed system was introduced on some metropolitan motorways. This paper...