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Quantitative modeling of operational risk losses when combining internal and external data

Nielsen, Jens Perch; Guillén, Montserrat; Bolancé, … - In: Journal / The Capco Institute : journal of financial … 35 (2012), pp. 179-185

Persistent link: https://www.econbiz.de/10009785720

A nonparametric approach to calculating value-at-risk

Alemany, Ramon; Bolancé, Catalina; Guillén, Montserrat - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 255-262

Persistent link: https://www.econbiz.de/10009736109

Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...

Persistent link: https://www.econbiz.de/10012508762

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014225819

Simple risk measure calculations for sums of positive random variables

Guillén, Montserrat; Sarabia, José María; Prieto, … - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 273-280

Persistent link: https://www.econbiz.de/10009785394

GlueVaR measures in capital allocation applications

Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 58 (2014), pp. 132-137

Persistent link: https://www.econbiz.de/10010437586

The connection between distortion risk measures and ordered weighted averaging operators

Belles-Sampera, Jaume; Merigó Lindahl, José M.; … - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 411-420

Persistent link: https://www.econbiz.de/10009736092

Modeling longevity risk with generalized dynamic factor models and vine-copulae

Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 165-190

Persistent link: https://www.econbiz.de/10011485145

What attitudes to risk underlie distortion risk measure choices?

Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 68 (2016), pp. 101-109

Persistent link: https://www.econbiz.de/10011492606

Distortion risk measures for nonnegative multivariate risks

Guillén, Montserrat; Sarabia, José María; … - In: The journal of operational risk 13 (2018) 2, pp. 35-57

Persistent link: https://www.econbiz.de/10011895037