University of Barcelona
Montserrat Guillen is Full professor of Quantitative Methods, and director of UB Riskcenter, a research center for risk analysis established at the University of Barcelona (UB). She received a Master of Science in Mathematics and Mathematical Statistics in 1987 and a PhD in Economics in 1992 from UB. She received a MSc in Data Analysis from the University of Essex (United Kingdom). She is currently Honorary Visiting Professor in the Faculty of Actuarial Science and Insurance at City University London. She was Visiting Research faculty at the University of Texas at Austin (USA), the University of Paris II (France) and the University of California, Berkeley. She was awarded the ICREA Academia distinction.
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.