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Publications Influence

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

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator

- F. Godin, S. Mayoral, M. Morales
- Mathematics
- 1 September 2012

We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where the original distortion function was defined in terms of the… Expand

16 3

Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density

- Wael Bahsoun, P. Góra, S. Mayoral, M. Morales
- Mathematics
- 1 May 2007

We introduce a general binomial model for asset prices based on the concept of random maps. The asymptotic stationary distribution for such model is studied using techniques from dynamical systems.… Expand

11 1- PDF

Vector Optimization Approach For Pricing And Hedging In Imperfect Markets

- A. Balbás, S. Mayoral
- Economics
- 1 August 2004

Abstract The paper introduces and applies the concept of pseudo-arbitrage in order to price and hedge in imperfect financial markets, usually characterized by large transaction costs and wide bid-ask… Expand

6 1

Corporation as Crucial Ally Against Corruption

- R. Calderón, Jose Alvarez Arce, S. Mayoral
- Political Science
- 23 December 2009

We analyze the role that corporation plays and could play in anticorruption programs, with the World Bank Governance and Anticorruption (2006-07) report as a base. Using the BPI and CPI and… Expand

24 1

A method for determining risk aversion functions from uncertain market prices of risk

- H. Gzyl, S. Mayoral
- Economics
- 1 August 2010

In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to… Expand

7

Recommendation techniques in forensic data analysis: a new approach

- Marcos Quintana González, S. Mayoral, Faustino Ángel Sánchez García, F. García
- Computer Science
- 2015

TLDR

2- PDF

Two maxentropic approaches to determine the probability density of compound risk losses

- Erika Gomes-Gonccalves, H. Gzyl, S. Mayoral
- Mathematics, Economics
- 20 November 2014

Here we present an application of two maxentropic procedures to determine the probability density distribution of a compound random variable describing aggregate risk, using only a finite number of… Expand

8- PDF

Determination of risk pricing measures from market prices of risk

- H. Gzyl, S. Mayoral
- Economics
- 1 December 2008

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted… Expand

6- PDF

Maxentropic Approach to Decompound Aggregate Risk Losses

- Erika Gomes-Gonçalves, H. Gzyl, S. Mayoral
- Mathematics
- 26 February 2015

A risk manager may be faced with the following problem: she/he has obtained loss data collected during a year, but the data only contains the total number of events and the total loss for that year.… Expand

4- PDF