S. Mayoral

Publications31
h-index7
Citations188
Highly Influential Citations9
Claim Author Page
Author pages are created from data sourced from our academic publisher partnerships and public sources.

Recommended Authors

  • H. Gzyl
  • 191 Publications, 900 Citations
  • Erika Gomes-Gonçalves
  • 15 Publications, 27 Citations
  • S. Uryasev
  • 198 Publications, 12,490 Citations
  • J. Dhaene
  • 308 Publications, 6,259 Citations
  • Publications
  • Influence
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
Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator
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
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
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
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
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
TLDR
We propose a new approach, architecture and framework with the purpose of taking advantage of recommender systems techniques to the forensic field and provide examples of their applicability to different use cases involving large scale collections of multimedia information related to a defined forensic case. Expand
  • 2
  • PDF
Two maxentropic approaches to determine the probability density of compound risk losses
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
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
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