Montserrat Guillen

Affiliation not provided to SSRN
SCHOLARLY PAPERS

32

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33

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16

Scholarly Papers (32)

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1.

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

Downloads 715 (66,929)
Citation 12

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 715 (65,957)
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

2.

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 711 (67,377)
Citation 2

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

3.

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 545 (94,362)

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

4.

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 348 (159,241)
Citation 1

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5.

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 319 (174,799)
Citation 5

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

6.

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 309 (180,702)
Citation 3

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Operational Risk, Mixing Model, Underreporting

7.

A Logistic Regression Approach to Estimating Customer Profit Loss Due to Lapses in Insurance

Document de Treball No. XREAP 2011-13
Number of pages: 39 Posted: 12 Oct 2011
Montserrat Guillen, Ana Maria Perez and Manuela Alcañiz
affiliation not provided to SSRN, University of Barcelona and University of Barcelona
Downloads 276 (203,304)
Citation 3

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Policy cancellation, customer loyalty, profit loss, customer behavior

8.

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 240 (233,490)
Citation 4

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

9.

Loss Risk Through Fraud in Car Insurance

XREAP No. 2011-07
Number of pages: 27 Posted: 03 Jun 2011 Last Revised: 07 Jun 2011
Mercedes Ayuso, Catalina Bolancé and Montserrat Guillen
University of Barcelona, University of Barcelona - Department of Econometrics and affiliation not provided to SSRN
Downloads 232 (242,232)

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fraudulent claims, operational risk, claims auditing, risk measure, non-parametric estimation

10.

A Correlation Sensitivity Analysis of Non-Life Underwriting Risk in Solvency Capital Requirement Estimation

XREAP No. 2011-12
Number of pages: 30 Posted: 05 Sep 2011
Lluís Bermudez, Antoni Ferri and Montserrat Guillen
University of Barcelona, University of Barcelona and affiliation not provided to SSRN
Downloads 188 (293,078)
Citation 1

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Solvency II, Solvency Capital Requirement, Standard Model, Internal Model, Monte Carlo simulation, Copulas

11.

Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions: An Approach Using R

XREAP No. 2011-06
Number of pages: 48 Posted: 03 Jun 2011
David Pitt, Montserrat Guillen and Catalina Bolancé
University of Melbourne - Department of Economics, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 187 (294,448)
Citation 6

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12.

A Robust Unsupervised Method for Fraud Rate Estimation

Journal of Risk and Insurance, Forthcoming
Number of pages: 34 Posted: 15 May 2011 Last Revised: 20 Aug 2012
Jing Ai, Patrick L. Brockett, Linda L. Golden and Montserrat Guillen
University of Hawaii at Manoa - Shidler College of Business, University of Texas at Austin - Department of Information, Risk and Operations Management, University of Texas at Austin - Red McCombs School of Business and affiliation not provided to SSRN
Downloads 180 (304,558)
Citation 1

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fraud rate, fraud detection, insurance fraud, unsupervised learning, PRIDIT, PRIDIT-FRE, audit

13.

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 175 (312,174)
Citation 4

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Bonus-Malus System, Multivariate Credibility, Time-dependent

14.

Nonparametric Estimation of Value-at-Risk

XARXA de Referencia en Economia Aplicada, XREAP2012-19
Number of pages: 40 Posted: 17 Oct 2012
Ramon Alemany, Catalina Bolancé and Montserrat Guillen
University of Barcelona, University of Barcelona - Department of Econometrics and affiliation not provided to SSRN
Downloads 161 (335,541)
Citation 3

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kernel estimation, bandwidth selection, quantile, risk measures

15.

Discrete Time Non-Homogeneous Semi-Markov Processes Applied to Models for Disability Insurance

Document de Treball No. XREAP2012-05
Number of pages: 29 Posted: 29 Mar 2012
Guglielmo D’Amico, Montserrat Guillen and Raimondo Manca
'Gabriele d'Annunzio' University of Chieti-Pescara, affiliation not provided to SSRN and Sapienza University of Rome
Downloads 145 (365,750)
Citation 1

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16.

Solvency Capital Estimation and Risk Measures

XREAP2012-02
Number of pages: 26 Posted: 01 Feb 2012
Antoni Ferri, Montserrat Guillen and Lluís Bermúdez
University of Barcelona, affiliation not provided to SSRN and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 120 (425,799)

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Solvency II, Solvency Capital Requirement, Value-at-Risk, Tail Value-at-Risk, Monte Carlo, Copulas

17.

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 108 (457,613)
Citation 1

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Bias reduction, Kernel, Multiplicative correction

18.

Forecasting Compositional Risk Allocations

XREAP 2017-04
Number of pages: 35 Posted: 01 Nov 2017
Tim J. Boonen, Montserrat Guillen and Miguel Santolino
University of Hong Kong, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 100 (483,127)
Citation 6

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simplex, capital allocation, dynamic management

19.

How to Use the Standard Model with Own Data?

XREAP2012-03
Number of pages: 30 Posted: 01 Feb 2012
Antoni Ferri, Lluís Bermúdez and Montserrat Guillen
University of Barcelona, University of Barcelona - Department of Actuarial, Financial and Economic Mathematics and affiliation not provided to SSRN
Downloads 93 (506,544)

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Solvency II, Solvency Capital Requirement, Standard Model, correlation matrix

20.

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 93 (506,544)

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

21.

Health Care Utilization Among Immigrants and Native-Born Populations in 11 European Countries. Results from the Survey of Health, Ageing and Retirement in Europe

XREAP 2009-10
Number of pages: 39 Posted: 03 May 2011
Aïda Solé-Auró, Montserrat Guillen and Eileen Crimmins
University of Barcelona, affiliation not provided to SSRN and University of Southern California - Davis School of Gerontology
Downloads 87 (528,130)
Citation 4

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count data, physician services, immigration

22.

How Much Risk is Mitigated by LTC Insurance? A Case Study of the Public System in Spain

Document de Treball No. XREAP2011-07
Number of pages: 27 Posted: 03 Jun 2011
Adelina Comas-Herrera and Montserrat Guillen
London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 79 (559,703)
Citation 1

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23.

An Introduction to Parametric and Non-Parametric Models for Bivariate Positive Insurance Claim Severity Distributions

XREAP 2010-03
Number of pages: 25 Posted: 22 Apr 2011
David Pitt and Montserrat Guillen
University of Melbourne - Department of Economics and affiliation not provided to SSRN
Downloads 68 (608,209)
Citation 1

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24.

The Environmental Effects of Changing Speed Limits: A Quantile Regression Approach

DOCUMENT DE TREBALL XREAP2014-09
Number of pages: 32 Posted: 03 Dec 2014
Germà Bel, Catalina Bolancé, Montserrat Guillen and Jordi Rosell
University of Barcelona - Department of Political Economics, University of Barcelona - Department of Econometrics, affiliation not provided to SSRN and University of Barcelona
Downloads 65 (622,699)
Citation 1

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25.

Moving Beyond the Mean: Explaining the Cross-Sectional Tails with Firms’ Characteristics

Number of pages: 59 Posted: 22 Feb 2024
Jorge M. Uribe, Montserrat Guillen and Xenxo Vidal-Llana
Open University of Catalunya (UOC) (Open University of Catalonia) - Department of Economics and Business, affiliation not provided to SSRN and University of Barcelona
Downloads 49 (724,251)

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factor models, asset characteristics, tail-risks, Quantile regression

26.

Prediction of the Economic Cost of Individual Long-Term Care in the Spanish Population

XREAP 2010-08
Number of pages: 35 Posted: 22 Apr 2011
Catalina Bolancé, Ramon Alemany and Montserrat Guillen
University of Barcelona - Department of Econometrics, University of Barcelona and affiliation not provided to SSRN
Downloads 46 (730,665)
Citation 1

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27.

Impacto de la Immigración Sobre la Esperanza de Vida en Salud y en Discapacidad de La Población Española (Immigration Impact on Life Expectancy on Health and Discapacity of Spanish Population)

XREAP Working Paper No. 2007-13
Number of pages: 17 Posted: 18 Jun 2011
Lluís Bermúdez, Montserrat Guillen and Aïda Solé-Auró
University of Barcelona - Department of Actuarial, Financial and Economic Mathematics, affiliation not provided to SSRN and University of Barcelona
Downloads 43 (750,771)

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Dependence, immigration, life expectancy with health and discapacity, Dependencia, Inmigración, Esperanza de vida con discapacidad

28.

Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation Regression with Non-Crossing Conditions

Number of pages: 19 Posted: 08 Feb 2023
Xenxo Vidal-Llana, Carlos Salort Sánchez, Vincenzo Coia and Montserrat Guillen
University of Barcelona, University of Barcelona, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 39 (779,193)

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risk evaluation, deep learning, quantile regression, value at risk

29.

Prevalence of Alcohol-Impaired Drivers Based on Random Breath Tests in a Roadside Survey

XREAP 2013-05
Number of pages: 39 Posted: 11 Jul 2013
Manuela Alcañiz, Montserrat Guillen, Daniel Sanchez-Moscones, Miguel Santolino, Oscar Llatje and Lluís Ramon
University of Barcelona, affiliation not provided to SSRN, University of Barcelona - Department of Econometrics, University of Barcelona - Department of Econometrics, Generalitat de Catalunya and Generalitat de Catalunya
Downloads 38 (786,478)

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breath alcohol concentration, blood alcohol content, drunk driving, sampling analysis, weights, substance abuse

30.

Calculation of the Variance in Surveys of the Economic Climate

XREAP Working Paper No. 2006-06
Number of pages: 22 Posted: 20 Jun 2011
Manuela Alcañiz, Alex Costa, Carme Luna, Cristina Rovira and Montserrat Guillen
University of Barcelona, Institut d'Estadistica de Catalunya, Institut d'Estadistica de Catalunya, Institut d'Estadistica de Catalunya and affiliation not provided to SSRN
Downloads 28 (866,718)

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Economic climate, variances, sampling methods

31.

Alternative Methods of Estimating the Longevity Risk

XREAP 2018-05 Working Paper
Number of pages: 37 Posted: 30 Oct 2018
Catalina Bolancé, Montserrat Guillen and Arelly Ornelas
University of Barcelona - Department of Econometrics, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 27 (875,535)

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longevity, value-at-risk, nonparametric inference

32.

Compositional Methods Applied to Capital Allocation Problems

Journal of Risk, Forthcoming
Number of pages: 16 Posted: 28 Oct 2016
Jaume Belles-Sampera, Montserrat Guillen and Miguel Santolino
University of Barcelona - Riskcenter-IREA, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
Downloads 0 (1,120,022)
Citation 1
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risk management, simplex, Aitchison distance, geometric average, capital allocation problems