Jens Perch Nielsen

City University London - Cass Business School

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 3,835

SSRN RANKINGS

Top 3,835

in Total Papers Downloads

8,372

CITATIONS
Rank 6,019

SSRN RANKINGS

Top 6,019

in Total Papers Citations

84

Scholarly Papers (31)

1.
Downloads 873 ( 20,796)
Citation 6

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 774 (24,356)
Citation 6

Abstract:

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 99 (223,106)
Citation 6

Abstract:

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 768 (25,055)
Citation 11

Abstract:

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 704 (27,177)
Citation 8

Abstract:

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

4.

Using External Data in Operational Risk

Number of pages: 15 Posted: 20 Dec 2005
affiliation not provided to SSRN, University of Barcelona, Department of Econometrics, Riskcenter-IREA, City University London - Cass Business School and Royal & SunAlliance
Downloads 661 (29,978)
Citation 13

Abstract:

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

5.

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 661 (28,325)
Citation 2

Abstract:

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

Number of pages: 38 Posted: 21 Feb 2004
University of Barcelona, Department of Econometrics, Riskcenter-IREA, University of Aarhus - Business and Social Sciences and City University London - Cass Business School
Downloads 638 (31,899)
Citation 5

Abstract:

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
University of Barcelona, Department of Econometrics, Riskcenter-IREA, University of Aarhus - Business and Social Sciences and City University London - Cass Business School

Abstract:

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 471 (46,445)
Citation 2

Abstract:

Capital allocation; risk management; second order condition

8.

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 390 (60,009)
Citation 1

Abstract:

9.

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 369 (64,032)
Citation 11

Abstract:

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

10.

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, University of Barcelona, Department of Econometrics, Riskcenter-IREA and University of Barcelona - Department of Econometrics
Downloads 366 (56,157)
Citation 7

Abstract:

Actuarial loss models, Transformation, Skewness, Champernowne distribution, 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, University of Barcelona, Department of Econometrics, Riskcenter-IREA and University of Barcelona
Downloads 294 (81,851)

Abstract:

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 276 (87,821)
Citation 2

Abstract:

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, Département des sciences économiques
Downloads 255 (94,364)

Abstract:

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 Guillén, Jim Gustafsson and Jens Perch Nielsen
University of Barcelona, Department of Econometrics, Riskcenter-IREA, affiliation not provided to SSRN and City University London - Cass Business School
Downloads 240 (99,485)
Citation 2

Abstract:

Operational Risk, Mixing Model, Underreporting

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 172 (143,362)
Citation 1

Abstract:

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 (558,055)
Citation 1

Abstract:

16.

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 169 (144,884)
Citation 1

Abstract:

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

17.

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
University of Barcelona, Department of Econometrics, Riskcenter-IREA, City University London - Cass Business School, University of Barcelona and Festina Lente
Downloads 155 (143,382)
Citation 1

Abstract:

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

18.

Multivariate Latent Risk: A Credibility Approach

Number of pages: 10 Posted: 27 Dec 2005 Last Revised: 05 Feb 2008
Codan Insurance, University of Barcelona, Department of Econometrics, Riskcenter-IREA, affiliation not provided to SSRN, Codan and City University London - Cass Business School
Downloads 139 (168,058)
Citation 3

Abstract:

Bonus-Malus System, Multivariate Credibility, Time-dependent

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 and City University London - Cass Business School
Downloads 114 (168,058)

Abstract:

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

20.

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 67 (276,844)

Abstract:

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

21.

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations

Number of pages: 29 Posted: 16 Apr 2010
Royal & SunAlliance, University of Barcelona, Department of Econometrics, Riskcenter-IREA, University of Cambridge and City University London - Cass Business School
Downloads 67 (272,467)
Citation 2

Abstract:

Bias reduction, Kernel, Multiplicative correction

22.

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
University of Barcelona, Department of Econometrics, Riskcenter-IREA, Independent, City University London - Cass Business School and University of Barcelona
Downloads 51 (308,014)

Abstract:

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

23.

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 49 (316,198)

Abstract:

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 36 (316,198)
Citation 4

Abstract:

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 27 (333,721)

Abstract:

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

26.

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 13 (425,888)

Abstract:

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

27.

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, University of Barcelona, Department of Econometrics, Riskcenter-IREA, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona
Downloads 3 (524,962)
Citation 1

Abstract:

28.

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 (540,249)
Citation 1

Abstract:

29.

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 Guillén and Jens Perch Nielsen
University of Barcelona, University of Barcelona, Department of Econometrics, Riskcenter-IREA and City University London - Cass Business School
Downloads 0 (327,794)

Abstract:

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

30.

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 (553,501)

Abstract:

31.

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 - Department of Finance and City University London - Cass Business School

Abstract:

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