Publicaciones (38) Publicaciones en las que ha participado algún/a investigador/a

2023

  1. Actuarial pricing with financial methods

    Scandinavian Actuarial Journal, Vol. 2023, Núm. 5, pp. 450-476

  2. Bidual Representation of Expectiles

    Risks, Vol. 11, Núm. 12

  3. Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

    Applied Mathematical Finance

2022

  1. Pareto efficient buy and hold investment strategies under order book linked constraints

    Annals of Operations Research, Vol. 311, Núm. 2, pp. 945-965

  2. Risk transference constraints in optimal reinsurance

    Insurance: Mathematics and Economics, Vol. 103, pp. 27-40

2021

  1. Omega ratio optimization with actuarial and financial applications

    European Journal of Operational Research, Vol. 292, Núm. 1, pp. 376-387

2019

  1. Golden options in financial mathematics

    Mathematics and Financial Economics, Vol. 13, Núm. 4, pp. 637-659

2017

  1. Differential equations connecting VaR and CVaR

    Journal of Computational and Applied Mathematics, Vol. 326, pp. 247-267

  2. VaR as the CVaR sensitivity: Applications in risk optimization

    Journal of Computational and Applied Mathematics, Vol. 309, pp. 175-185

2016

  1. Good deals and benchmarks in robust portfolio selection

    European Journal of Operational Research, Vol. 250, Núm. 2, pp. 666-678

  2. Outperforming benchmarks with their derivatives: Theory and empirical evidence

    Journal of Risk, Vol. 18, Núm. 4, pp. 25-52

2015

  1. Medidas de riesgo y sus aplicaciones financieras

    Compañía Española de Reprografía y Servicios

  2. Optimal reinsurance under risk and uncertainty

    Insurance: Mathematics and Economics, Vol. 60, pp. 61-74

  3. The Multiobjective Nature of Bonus-Malus Systems in Insurance Companies

    Multiple Criteria Decision Making (Springer Science and Business Media Deutschland GmbH), pp. 159-169