Catalina Bolancé

Learn More
When estimating loss distributions in insurance, large and small losses are usually split because it is difficult to find a simple parametric model that fits all claim sizes. This approach involves determining the threshold level between large and small losses. In this article, a unified approach to the estimation of loss distributions is presented. We(More)
Hospital expenses are a major cost driver of healthcare systems in Europe, with motor injuries being the leading mechanism of hospitalizations. This paper investigates the injury characteristics which explain the hospitalization of victims of traffic accidents that took place in Spain. Using a motor insurance database with 16,081 observations a generalized(More)
Fredrik Thuring, Jens Perch Nielsen, Montserrat Guillén, Catalina Bolancé * Cass Business School, City University, London, United Kingdom, Fredrik.Thuring.1@city.ac.uk (corresponding author) Cass Business School, City University, London, United Kingdom, jens.nielsen.1@city.ac.uk Department of econometrics, RISC-IREA, University of Barcelona, Spain,(More)
We design a system for improving the calculation of the price to be charged for an insurance product. Standard pricing techniques generally take into account the expected severity of potential losses. However, the severity of a loss can be extremely high and the risk of a severe loss is not homogeneous for all policy holders. We argue that risk loadings(More)
We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the(More)
A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the(More)
Pensions together with savings and investments during active life are key elements of retirement planning. Motivation for personal choices about the standard of living, bequest and the replacement ratio of pension with respect to last salary income must be considered. This research contributes to the financial planning by helping to quantify long-term care(More)
In this paper we analyse nonparametric methods to estimate risk measures in loss distributions. We study kernel estimation for Value-at-Risk and Tail Value-at-Risk based on transformation of the original data. The proposed method consists of a double transformation kernel estimation. We show that a suitable bandwidth selection criterion has a direct(More)