Rosario Romera

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Weconsider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin, we may reinsure a part or even all of the reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for(More)
The allergenic capacity of Olea europaea L. pollen is very important in several cities of the southern Iberian Peninsula, producing most pollinoses diagnosed in these cities. We have carried out a study on the annual, daily and diurnal variations in pollen from O. europaea in the atmosphere of Granada (Spain) during 4 consecutive years. Samplings were(More)
Composite indicators play an essential role for benchmarking higher education institutions. One of the main sources of uncertainty building composite indicators and, undoubtedly, the most debated problem in building composite indicators is the weighting schemes (assigning weights to the simple indicators or subindicators) together with the aggregation(More)
A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Our setting is innovative in the sense that we describe in a unified way the timing of the events, that is the arrivals of claims and the changes of the prices in the financial market, by means of a(More)
This paper deals with the optimal quadratic control problem for non-Gaussian discrete-time stochastic systems. Our main result gives explicit solutions for the optimal quadratic control problem for partially observable dynamic linear systems with asymmetric observation errors. For this purpose an asymmetric version of the Kalman filter based on asymmetric(More)