Jens Perch Nielsen

City University London - Cass Business School

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - Cass Business School

SCHOLARLY PAPERS

32

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SSRN CITATIONS
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Top 14,635

in Total Papers Citations

33

CROSSREF CITATIONS

60

Scholarly Papers (32)

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1.

Yield Curve Estimation by Kernel Smoothing Methods

Downloads 997 (39,978)
Citation 12

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
Oliver B. Linton, Enno Mammen, Jens Perch Nielsen and Carsten Tanggaard
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 855 (48,751)
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
Oliver B. Linton, Enno Mammen, Jens Perch Nielsen and Carsten Tanggaard
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 142 (348,775)
Citation 2

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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 810 (53,179)
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 783 (55,663)

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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 780 (56,019)
Citation 1

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5.

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

Downloads 711 (63,314)

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

Number of pages: 38 Posted: 21 Feb 2004
Montserrat Guillen, Peter Løchte Jørgensen and Jens Perch Nielsen
affiliation not provided to SSRN, University of Aarhus - Business and Social Sciences and City University London - Cass Business School
Downloads 711 (62,409)
Citation 12

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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
Montserrat Guillen, Peter Løchte Jørgensen and Jens Perch Nielsen
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

6.

Using External Data in Operational Risk

Number of pages: 15 Posted: 20 Dec 2005
Jim Gustafsson, Montserrat Guillen, Jens Perch Nielsen and Paul Pritchard
affiliation not provided to SSRN, affiliation not provided to SSRN, City University London - Cass Business School and Royal & SunAlliance
Downloads 707 (63,782)
Citation 2

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

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 556 (86,312)
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
Tine Buch-Kromann, Jens Perch Nielsen, Montserrat Guillen and Catalina Bolancé
Royal & SunAlliance, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 522 (93,385)

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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
Martin Englund, Jim Gustafsson, Tine Buch-Kromann, Jens Perch Nielsen and Fredrik Thuring
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 431 (117,402)

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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 412 (123,697)
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
Nils Høgh, Jens Perch Nielsen, Montserrat Guillen and Ana Maria Perez-Marin
Nordea Markets, City University London - Cass Business School, affiliation not provided to SSRN and University of Barcelona
Downloads 341 (152,641)
Citation 1

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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
Jim Gustafsson, Matthias Hagmann-von Arx, O. Scaillet and Jens Perch Nielsen
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), Swiss Finance Institute - University of Geneva and City University London - Cass Business School
Downloads 331 (157,565)
Citation 2

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

13.

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 307 (170,706)
Citation 5

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

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 307 (171,280)
Citation 3

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Operational Risk, Mixing Model, Underreporting

15.

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

Number of pages: 19 Posted: 19 Dec 2006
Maria Dolores Martinez-Miranda, Jens Perch Nielsen and Stefan Sperlich
University of Granada, City University London - Cass Business School and Université de Genève, GSEM
Downloads 304 (172,452)
Citation 1

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

16.

On Optimal Constrained Investment Strategies for Long-Term Savers in Stochastic Environments and Probability Hedging

European Journal of Operational Research, Forthcoming
Number of pages: 44 Posted: 10 Jan 2023
Russell J. Gerrard, Ioannis Kyriakou, Jens Perch Nielsen and Peter Vodička
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, City University London - Cass Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 269 (195,582)

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Investment analysis, Finance, Utility theory

17.

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 Department of Medicine and City University London - Cass Business School
Downloads 247 (213,732)
Citation 3

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

18.

Long-Term Real Dynamic Investment Planning

Insurance: Mathematics and Economics, Vol. 92, 2020
Number of pages: 55 Posted: 11 Jan 2023
Russell J. Gerrard, Munir Hiabu, Jens Perch Nielsen and Peter Vodička
City University London - The Business School, City University London - The Business School, City University London - Cass Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 237 (222,544)

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long-term investment, forecasting returns, nonmyopic strategy, optimal investment strategy, econometrics

19.

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
Montserrat Guillen, Jens Perch Nielsen, Ana Maria Perez-Marin and Kitt S. Petersen
affiliation not provided to SSRN, City University London - Cass Business School, University of Barcelona and Festina Lente
Downloads 231 (227,255)
Citation 4

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

20.

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 210 (249,598)

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

21.

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 202 (257,475)
Citation 12

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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

22.

Multivariate Latent Risk: A Credibility Approach

Number of pages: 10 Posted: 27 Dec 2005 Last Revised: 05 Feb 2008
Martin Englund, Montserrat Guillen, Jim Gustafsson, Lars Hougaard Hansen and Jens Perch Nielsen
Codan Insurance, affiliation not provided to SSRN, affiliation not provided to SSRN, Codan and City University London - Cass Business School
Downloads 173 (295,434)
Citation 4

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Bonus-Malus System, Multivariate Credibility, Time-dependent

23.

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
Russell J. Gerrard, Munir Hiabu, Ioannis Kyriakou and Jens Perch Nielsen
City University London - The Business School, City University London - The Business School, Bayes Business School (formerly Cass), City, University of London and City University London - Cass Business School
Downloads 117 (402,986)
Citation 1

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

24.

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations

Number of pages: 29 Posted: 16 Apr 2010
Tine Buch-Kromann, Montserrat Guillen, Oliver B. Linton and Jens Perch Nielsen
Royal & SunAlliance, affiliation not provided to SSRN, University of Cambridge and City University London - Cass Business School
Downloads 103 (444,891)
Citation 1

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Bias reduction, Kernel, Multiplicative correction

25.

Do-Validating Local Linear Hazards

Number of pages: 32 Posted: 03 Oct 2014
Maria Luz Gamiz, Enno Mammen, Maria Dolores Martinez-Miranda and Jens Perch Nielsen
University of Granada, University of Mannheim - Department of Economics, University of Granada and City University London - Cass Business School
Downloads 91 (479,529)
Citation 3

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

26.

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 90 (486,092)
Citation 1

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

27.

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
Montserrat Guillen, Agnieszka K. Konicz Bell, Jens Perch Nielsen and Ana Maria Perez-Marin
affiliation not provided to SSRN, Independent, City University London - Cass Business School and University of Barcelona
Downloads 83 (507,313)

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

28.

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 83 (511,061)

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29.

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 83 (507,313)

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30.

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 Last Revised: 16 Apr 2023
Gerard J. van den Berg, Lena Janys, Enno Mammen and Jens Perch Nielsen
University of Groningen, University of Mannheim, University of Mannheim - Department of Economics and City University London - Cass Business School
Downloads 80 (518,562)

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

31.

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
Russell J. Gerrard, Munir Hiabu, Ioannis Kyriakou and Jens Perch Nielsen
City University London - The Business School, City University London - The Business School, Bayes Business School (formerly Cass), City, University of London and City University London - Cass Business School
Downloads 60 (605,236)

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Pension, Life-long Optimal Investment Strategy, Customer Communication

32.

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

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