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Balbás, Alejandro ; Balbás, Beatriz ; Balbas Aparicio, Raquel | Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial | 2017The Value at Risk (VaR) is a very important risk measure for practitioners, supervisors and researchers. Many practitioners draw on VaR as a critical instrument in Risk Management and other Actuarial/Financial problems, while supervisors and reg[...]texto impreso
This paper deals with portfolio selection problems under risk and ambiguity. The investor may be ambiguouswith respect to the set of states of nature and their probabilities. Both static and discrete or continuous timedynamic pricing models are [...]texto impreso
García Pineda, María Pilar ; Heras Martínez, Antonio ; Blanco García, Susana ; Balbas Aparicio, Raquel ; Rebollo Castillo, Francisco Javier | 2016-05Haremos comparaciones entre las metodologías docentes de las asignaturas de Matemáticas Empresariales impartidas en las principales universidades europeas, proponiendo medidas para la mejora de la calidad de estas asignaturas en nuestra universidad.texto impreso
García Pineda, María Pilar ; Heras Martínez, Antonio José ; Blanco García, Susana ; Balbas Aparicio, Raquel ; García Villalba, Luis Javier ; Riomoros Callejo, María Isabel ; Portela García-Miguel, Javier ; Sandoval Orozco, Ana Lucila ; Rebollo Castillo, Francisco Javier | 2017-12-20La creciente importancia de los métodos cuantitativos en las ciencias económicas y empresariales nos motiva a proponer una revisión detallada de los syllabus de las materias de matemáticas que se imparten en el Grado de Administración y Direcció[...]texto impreso
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them al[...]texto impreso
This paper deals with the optimal reinsurance problem if both insurer and reinsurer are facing risk and uncertainty, though the classical uncertainty free case is also included. The insurer and reinsurer degrees of uncertainty do not have to be [...]texto impreso
VaR minimization is a complex problem playing a critical role in many actuarial and financial applications of mathematical programming. The usual methods of convex programming do not apply due to the lack of sub-additivity. The usual methods of [...]
