University of Barcelona
Jaume Belles-Sampera holds a PhD in Business and a Grade in Mathematics from the University of Barcelona (UB). Since January 2015 he works at Grupo Catalana Occidente (GCO) as member of the department in charge of the actuarial function of this international insurance group. His main research interests are capital allocation, risk measures and aggregation functions, while his main responsibility consists in assessing the embedded and appraisal value of traditional insurance businesses belonging to GCO. He is an affiliate of UB Riskcenter, a research center for risk analysis established at the UB. He was awarded with the ‘Ferran Armengol i Tubau’ prize from the Catalan Society of Economy in its 2014 edition, for his contributions on the analysis of risk measures in insurance and financial applications. He is a certified Financial Risk Manager (FRM) from the Global Association of Risk Professionals (GARP).
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.