Jens Perch Nielsen

City University London - Cass Business School

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

33

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Top 4,807

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8,848

SSRN CITATIONS
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SSRN RANKINGS

Top 11,290

in Total Papers Citations

20

CROSSREF CITATIONS

67

Scholarly Papers (33)

1.
Downloads 903 ( 26,250)
Citation 10

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 792 (31,054)
Citation 1

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Coupon bonds, Kernal Estimation, Hilbert Space, nonparametric regression, term structure estimation, yield curve, zero coupon

Yield Curve Estimation by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM385
Number of pages: 46 Posted: 21 Jul 2008
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 111 (257,592)

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2.

Quantifying Operational Risk Guided by Kernel Smoothing and Continuous Credibility

Number of pages: 22 Posted: 07 Dec 2004
Jim Gustafsson, Jens Perch Nielsen, Paul Pritchard and Dix Roberts
affiliation not provided to SSRN, City University London - Cass Business School, Royal & SunAlliance and Royal & SunAlliance
Downloads 777 (32,345)
Citation 6

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Operational risk, credibility theory, kernel smoothing, extreme value theory

3.

A Mixing Model for Operational Risk

Number of pages: 18 Posted: 06 Feb 2008 Last Revised: 01 Jul 2008
Jim Gustafsson and Jens Perch Nielsen
affiliation not provided to SSRN and City University London - Cass Business School
Downloads 751 (33,908)

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Mixing data sources, Prior knowledge, Operational risk, Actuarial loss models, Transformation, Generalized Champernowne distribution, Sparse data

4.

Capital Allocation for Insurance Companies: Issues and Methods

Number of pages: 20 Posted: 18 Dec 2005
Jens Perch Nielsen, Paul Mumford and Rolf Poulsen
City University London - Cass Business School, Royal & SunAlliance and University of Copenhagen - Department of Statistics and Operations Research
Downloads 729 (35,325)
Citation 1

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5.

Using External Data in Operational Risk

Number of pages: 15 Posted: 20 Dec 2005
affiliation not provided to SSRN, affiliation not provided to SSRN, City University London - Cass Business School and Royal & SunAlliance
Downloads 684 (38,496)
Citation 2

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Operational Risk, Under-Reporting Function, Loss Data, Capital Requirements

Return Smoothing Mechanisms in Life and Pension Insurance: Path-Dependent Contingent Claims

Number of pages: 38 Posted: 21 Feb 2004
affiliation not provided to SSRN, University of Aarhus - Business and Social Sciences and City University London - Cass Business School
Downloads 653 (40,369)
Citation 11

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Account based pension schemes, return smoothing, averaging principles, contingent claims valuation, path-dependence, life cycle asset allocation

Return Smoothing Mechanisms in Life and Pension Insurance: Path-Dependent Contingent Claims

Insurance: Mathematics and Economics, Vol. 38, No. 2, 2006
Posted: 09 Dec 2012 Last Revised: 02 Jan 2013
affiliation not provided to SSRN, University of Aarhus - Business and Social Sciences and City University London - Cass Business School

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account-based pension schemes, surplus distribution mechanisms, return smoothing, contingent claims valuation, path-dependence, life cycle asset allocation

7.

The Froot-Stein Model Revisited

Number of pages: 10 Posted: 13 Jan 2004
Nils Høgh, Oliver B. Linton and Jens Perch Nielsen
Nordea Markets, University of Cambridge and City University London - Cass Business School
Downloads 494 (58,806)
Citation 4

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Capital allocation; risk management; second order condition

8.

Kernel Density Estimation for Heavy-Tailed Distributions Using the Champernowne Transformation

Number of pages: 32 Posted: 22 Apr 2005
Royal & SunAlliance, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 445 (66,725)

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Actuarial loss models, Transformation, Skewness, Champernowne distribution, Extreme Value Theory

9.

Nonparametric Estimation of Operational Risk Losses Adjusted for Underreporting

Number of pages: 15 Posted: 12 Nov 2006
Codan Insurance, affiliation not provided to SSRN, Royal & SunAlliance, City University London - Cass Business School and Cass Business School, City University London and RSA-Scandinavia
Downloads 398 (76,376)

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10.

Quantifying Operational Risk Guided by Kernel Smoothing and Continuous Credibility: A Practitioners View

Number of pages: 15 Posted: 08 Feb 2006
Jim Gustafsson, Jens Perch Nielsen, Paul Pritchard and Dix Roberts
affiliation not provided to SSRN, City University London - Cass Business School, Royal & SunAlliance and Royal & SunAlliance
Downloads 382 (79,984)
Citation 2

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practitioners view, operational risk, credibility theory, kernel smoothing, extreme value theory

11.

Froot and Stein Revisited Once Again

Number of pages: 6 Posted: 02 Jan 2007 Last Revised: 01 Dec 2008
Nordea Markets, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona
Downloads 311 (101,008)

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12.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and City University London - Cass Business School
Downloads 287 (110,204)
Citation 2

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

13.

One Sided Cross Validation for Density Estimation with an Application to Operational Risk

Number of pages: 19 Posted: 19 Dec 2006
University of Granada, City University London - Cass Business School and Université de Genève, GSEM
Downloads 273 (116,231)
Citation 1

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bandwidth choice, cross-validation, plug-in, nonparametric estimation

14.

Combining Underreported Internal and External Data for Operational Risk Measurement

Number of pages: 32 Posted: 21 Oct 2008 Last Revised: 30 Nov 2008
Montserrat Guillen, Jim Gustafsson and Jens Perch Nielsen
affiliation not provided to SSRN, affiliation not provided to SSRN and City University London - Cass Business School
Downloads 264 (120,336)
Citation 3

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Operational Risk, Mixing Model, Underreporting

15.

Performance Measurement of Pension Strategies: A Case Study of Danish Life Cycle Products

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 33 Posted: 21 May 2010 Last Revised: 20 Sep 2010
affiliation not provided to SSRN, City University London - Cass Business School, University of Barcelona and Festina Lente
Downloads 190 (165,607)
Citation 4

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Retirement wealth, pension industry, pension performance measurement, saving schemes

Multidimensional Credibility With Time Effects - An Application to Commercial Business Lines

Number of pages: 11 Posted: 09 Aug 2006 Last Revised: 07 Aug 2008
Martin Englund, Jim Gustafsson, Jens Perch Nielsen and Fredrik Thuring
Codan Insurance, affiliation not provided to SSRN, City University London - Cass Business School and Cass Business School, City University London and RSA-Scandinavia
Downloads 184 (170,443)

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Experience rating, credibility theory, multidimensional Býhlmann-Straub, evolutionary models

Multidimensional Credibility with Time Effects: An Application to Commercial Business Lines

Journal of Risk and Insurance, Vol. 76, Issue 2, pp. 443-453, June 2009
Number of pages: 11 Posted: 05 May 2009
Martin Englund, Jim Gustafsson, Jens Perch Nielsen and Fredrik Thuring
Codan Insurance, affiliation not provided to SSRN, City University London - Cass Business School and Cass Business School, City University London and RSA-Scandinavia
Downloads 2 (695,143)
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17.

Local Linear Density Estimation for Filtered Survival Data, with Bias Correction

Centre for Analytical Finance Working Paper No. 185
Number of pages: 38 Posted: 11 Dec 2004
Jens Perch Nielsen, Carsten Tanggaard and M. C. Jones
City University London - Cass Business School, affiliation not provided to SSRN and The Open University
Downloads 175 (178,316)
Citation 11

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Aalen's multiplicative model, additive bias correction, censoring, counting processes, exposure robustness, kernel density estimation, multiplicative bias correction, old age mortality

18.

Improving Automobile Insurance Ratemaking Using Telematics: Incorporating Mileage and Driver Behaviour Data

XREAP2016-08
Number of pages: 31 Posted: 14 Dec 2016
Mercedes Ayuso, Montserrat Guillen and Jens Perch Nielsen
University of Barcelona, affiliation not provided to SSRN and City University London - Cass Business School
Downloads 172 (180,974)
Citation 3

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tariff, premium calculation, pay-as-you-drive insurance, count data models

19.

Identification and Forecasting in the Lee-Carter Model

Number of pages: 14 Posted: 12 Dec 2010 Last Revised: 16 Dec 2010
Bent Nielsen and Jens Perch Nielsen
University of Oxford - Nuffield College of Medicine and City University London - Cass Business School
Downloads 170 (182,856)
Citation 3

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Age-period-cohort model, Cointegration, Forecasting, Identification, Lee-Carter model, Multi-sample problem

20.

Multivariate Latent Risk: A Credibility Approach

Number of pages: 10 Posted: 27 Dec 2005 Last Revised: 05 Feb 2008
Codan Insurance, affiliation not provided to SSRN, affiliation not provided to SSRN, Codan and City University London - Cass Business School
Downloads 158 (194,672)
Citation 3

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Bonus-Malus System, Multivariate Credibility, Time-dependent

21.

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations

Number of pages: 29 Posted: 16 Apr 2010
Royal & SunAlliance, affiliation not provided to SSRN, University of Cambridge and City University London - Cass Business School
Downloads 77 (324,114)
Citation 1

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Bias reduction, Kernel, Multiplicative correction

22.

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations for Truncated or Censored Data

Number of pages: 48 Posted: 20 Jun 2010
Tine Buch-Kromann and Jens Perch Nielsen
Royal & SunAlliance and City University London - Cass Business School
Downloads 73 (334,203)
Citation 1

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censoring, Champernowne, counting process theory, multiplicative correction, nonparametric estimation, truncation

23.

Do Not Pay for Your Interest Guarantee! The Law of the Triple Blow

Guillén, Montserrat, Agnieszka Karolina Konicz, Jens Perch Nielsen, and Ana M. Perez-Marın. 2013. “Do Not Pay For a Danish Interest Guarantee. The Law of the Triple Blow”. Annals of Actuarial Science 7 (2): 192-209. doi:10.1017/S1748499512000176.
Number of pages: 13 Posted: 20 Dec 2010 Last Revised: 19 Apr 2014
affiliation not provided to SSRN, Independent, City University London - Cass Business School and University of Barcelona
Downloads 61 (367,535)

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Retirement Wealth, Pension Industry, Pension Performance Measurement, Saving Schemes

24.

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

LSE STICERD Research Paper No. EM411
Number of pages: 39 Posted: 21 Jul 2008
Oliver B. Linton, Jens Perch Nielsen and Sara van de Geer
University of Cambridge, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 58 (376,675)

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25.

Do-Validating Local Linear Hazards

Number of pages: 32 Posted: 03 Oct 2014
University of Granada, University of Mannheim - Department of Economics, University of Granada and City University London - Cass Business School
Downloads 55 (386,393)
Citation 3

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Aalen's multiplicative model, cross-validation, Do-validation, filtered data, local linear estimation, semiparametric estimation

26.

Nonparametric Regression with a Latent Time Series

LSE STICERD Research Paper No. EM538
Number of pages: 29 Posted: 08 Feb 2010
Oliver B. Linton, Søren Feodor Nielsen and Jens Perch Nielsen
University of Cambridge, Copenhagen Business School and City University London - Cass Business School
Downloads 54 (389,733)

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27.

A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

IZA Discussion Paper No. 8339
Number of pages: 39 Posted: 02 Aug 2014
Gerard J. van den Berg, Lena Janys, Enno Mammen and Jens Perch Nielsen
VU University Amsterdam - Department of Economics, University of Mannheim, University of Mannheim - Department of Economics and City University London - Cass Business School
Downloads 46 (417,528)

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covariate effects, survival analysis, local linear estimation, asymptotic distribution, birth weight, mortality, social class

28.

Communication and Personal Selection of Pension Saver’s Financial Risk

European Journal of Operational Research, 2019, 274(3), 1102-1111
Number of pages: 22 Posted: 06 Nov 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 11 (598,902)

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Investment Analysis, Finance, Utility Theory, Risk Management, OR in Banking

29.

Self-Selection and Risk Sharing in a Modern World of Life-Long Annuities

British Actuarial Journal, 2018, 23, e30
Number of pages: 23 Posted: 25 Feb 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 7 (625,524)

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Pension, Life-long Optimal Investment Strategy, Customer Communication

30.

Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection?

Journal of Risk & Insurance, Vol. 75, Issue 3, pp. 713-737, September 2008
Number of pages: 25 Posted: 05 Aug 2008
University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business, affiliation not provided to SSRN, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona
Downloads 3 (654,228)
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31.

Non-Parametric Regression with a Latent Time Series

Econometrics Journal, Vol. 12, Issue 2, pp. 187-207, July 2009
Number of pages: 21 Posted: 08 Oct 2009
Oliver B. Linton, Jens Perch Nielsen and Søren Feodor Nielsen
University of Cambridge, City University London - Cass Business School and Copenhagen Business School
Downloads 1 (675,705)
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32.

Asymmetric Information, Self‐Selection, and Pricing of Insurance Contracts: The Simple No‐Claims Case

Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 757-780, 2014
Number of pages: 23 Posted: 25 Nov 2014
Heriot-Watt University, Codan Insurance, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 0 (692,841)
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33.

Non-Parametric Analysis of Rating Transition and Default Data

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Peter Fledelius, David Lando and Jens Perch Nielsen
Royal&SunAlliance, Copenhagen Business School and City University London - Cass Business School

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Credit ratings, transition probabilities, non-Markov effects, non-parametric analysis