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Publications Influence

Optimal reinsurance with general risk measures

- A. Balbás, Beatriz Balbás, Antonio Heras
- Economics
- 1 June 2009

This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures,… Expand

120 12

When can you immunize a bond portfolio

The object of this paper is to give conditions under which it is possible to immunize a bond portfolio. Maxmin strategies are also studied, as well as their relations with immunized ones. Some… Expand

35 11

Extending pricing rules with general risk functions

- A. Balbás, Raquel Balbás, J. Garrido
- Economics, Computer Science
- Eur. J. Oper. Res.
- 16 February 2010

TLDR

36 6- PDF

Properties of Distortion Risk Measures

- A. Balbás, J. Garrido, S. Mayoral
- Mathematics
- 1 September 2009

The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at least a partial solution to this problem. We study properties that a… Expand

71 3

Optimal reinsurance under risk and uncertainty

- A. Balbás, Beatriz Balbás, Raquel Balbás, Antonio Heras
- Economics
- 2015

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… Expand

42 2

Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm

- A. Balbás, Raquel Balbás, Silvia Mayoral
- Mathematics, Computer Science
- Eur. J. Oper. Res.
- 16 January 2009

TLDR

34 2- PDF

How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models

- A. Balbás, I. R. Longarela, J. Lucía
- Economics
- 1 December 1999

The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory. The highest possible… Expand

25 2- PDF

Minimizing measures of risk by saddle point conditions

- A. Balbás, Beatriz Balbás, Raquel Balbás
- Computer Science, Mathematics
- J. Comput. Appl. Math.
- 1 September 2010

TLDR

17 2- PDF

Compatibility between pricing rules and risk measures: The CCVaR

- A. Balbás, Raquel Balbás
- Mathematics
- 1 September 2009

This paper has considered a risk measure ρ and a (maybe incomplete and/or imperfect) arbitrage-free market with pricing rule Π. They are said to be compatible if there are no reachable strategies y… Expand

9 2- PDF

Sequential Arbitrage Measurements and Interest Rate Envelopes

This paper proposes new measures that provide us with the level of sequential arbitrage in bond markets. All the measures vanish in an arbitrage-free market and all of them are positive otherwise.… Expand

6 2