University of Barcelona
Miguel Santolino is associate professor at the University of Barcelona (UB). He holds a PhD in Business Studies, MA Actuarial Science and MA Economics from the UB and MSc in Financial and Actuarial Engineering from the Katholieke Universiteit Leuven (Belgium). His research focuses on the analysis and evaluation of risk, with special attention to longevity risk and the design of new risk measures, the mechanisms for the resolution of disputes, including Alternative Dispute Resolution (ADR) methods, and the investigation of motor accidents to design adequate road safety policies.
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
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.