A. Balbás

Publications71
h-index15
Citations675
Highly Influential Citations56
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Optimal reinsurance with general risk measures
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
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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
TLDR
The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Expand
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  • PDF
Properties of Distortion Risk Measures
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
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
TLDR
The minimization of general risk functions is becoming more and more important in portfolio choice theory and optimal hedging. Expand
  • 34
  • 2
  • PDF
How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models
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
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Minimizing measures of risk by saddle point conditions
TLDR
A general representation theorem of risk functions is used in order to transform the initial optimization problem into an equivalent one that overcomes several mathematical caveats ofrisk functions. Expand
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  • PDF
Compatibility between pricing rules and risk measures: The CCVaR
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
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  • 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