Silvia Mayoral

Universidad Carlos III de Madrid

C/ Madrid 124,

Getafe, Madrid 28093

Spain

SCHOLARLY PAPERS

8

DOWNLOADS

367

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

A Theory of Inefficient Quotes: Empirical Evidence in Options Markets

EFA 2007 Ljubljana Meetings Paper
Number of pages: 34 Posted: 05 Mar 2007
Iñaki Rodríguez-Longarela and Silvia Mayoral
Stockholm University - Stockholm Business School and Universidad Carlos III de Madrid
Downloads 125 (231,539)

Abstract:

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Inefficienct Quotes, Bid-Ask Spread, Law of One Price, Index Options

2.

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 24 Jan 2016 Last Revised: 03 Nov 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 77 (319,505)
Citation 4

Abstract:

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Loss data analysis, loss aggregation, maximum entropy method, density reconstruction

3.

Maxentropic Approach to Decompound Aggregate Risk Losses

Insurance: Mathematics and Economics, Volume 64, September 2015, Pages 326-336. Available at: https://www.sciencedirect.com/science/article/pii/S0167668715001146
Number of pages: 11 Posted: 13 Mar 2015 Last Revised: 05 Nov 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 69 (339,801)

Abstract:

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Frequency, disentangling, Decompounding, Density of individual losses, Maximum entropy

4.

Loss Data Analysis: Analysis of the Sample Dependence In Density Reconstruction by Maxentropic Methods

Insurance: Mathematics and Economics, 71, 145-153
Number of pages: 9 Posted: 23 Sep 2015 Last Revised: 05 Nov 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 52 (390,765)
Citation 3

Abstract:

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5.

Sample Dependence of Risk Premia

Number of pages: 19 Posted: 28 Nov 2017 Last Revised: 02 Nov 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 23 (516,477)

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Sample dependence of loss distributions, sample dependence of risk premia, maximum entropy

6.

Corporation as Crucial Ally Against Corruption

Number of pages: 14 Posted: 23 Dec 2014
Reyes Calderon, Jose Alvarez Arce and Silvia Mayoral
University of Navarra, University of Navarra and Universidad Carlos III de Madrid
Downloads 20 (534,154)

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7.

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 841-866, 2012
Number of pages: 26 Posted: 23 Aug 2012
Frédéric Godin, Silvia Mayoral and Manuel Morales
Concordia University, Quebec - Department of Mathematics & Statistics, Universidad Carlos III de Madrid and University of Montreal
Downloads 1 (665,607)
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8.

Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses

E. Gomes-Gonçalves et al, Insurance: Mathematics and Economics 62 (2015) 42–53
Posted: 03 Feb 2019
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid

Abstract:

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Total Loss Distribution, Maximum Entropy, Methods, Laplace Transform, Decompounding

Other Papers (1)

Total Downloads: 21
1.

Semiparametric Estimation of Dynamic Conditional Expected Shortfall Models

Number of pages: 17 Posted: 16 Feb 2009
Juan Carlos Escanciano and Silvia Mayoral
Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Downloads 21

Abstract:

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Conditional Value at Risk, CVaR, Tail VaR, Coherent Risk, Measures, Tail Risk, Market Risk, Conditional Distribution