Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

URI permanent per a aquesta col·leccióhttps://hdl.handle.net/2445/20947

Estadístiques

Examinar

Mostrant 1 - 20 de 260

Natural Resource Management Under Increasing Scarcity and Competition: The Case of Groundwater
(Walter de Gruyter, 2025-12-10) Frutos Cachorro, Julia de; Mañó Cabello, Carles; Marín Solano, Jesús
This study examines natural resource management under competing heterogeneous users, climate-induced stress, and usage restrictions. We focus on groundwater, an essential resource for water-dependent activities increasingly threatened by climate change. We introduce a declining recharge in a dynamic game to represent increasing water scarcity, along with a restriction policy that limits non-priority use to prevent overexploitation. The results show that targeted restrictions can improve long-term resource levels and total welfare compared to unregulated and abundant scenarios. However, these benefits come at the expense of the non-priority sector, revealing a trade-off between sustainability and equity.
Egalitarian-in-deviation rules relative to a reference system for resolving conflicting claim problems
(Springer Verlag) Izquierdo Aznar, Josep Maria; Rafels, Carles
We study claims problems in which agents may also have reference points. We show first that many classical rules satisfy an egalitarian property in this setting; namely, the differences between each agents’ payoff and the corresponding reference value are as equal as possible. We also introduce a broad class of rules that satisfy a generalized condition, dubbed egalitarian-in-deviation relative to a reference system. For each problem, the system proposes a reference vector which is a function of the claims. We show that these rules allocate the nearest efficient point to the reference vector. Our findings generalize previous results in the literature, such as the one stating that the CEA rule minimizes the squared distance to the equal division point. Concede-anddivide, a focal rule to solve two-agent claims problems, does not satisfy the egalitarianin-deviation condition relative to any reference system. But, under certain conditions, it can be reinterpreted as the limit of a weighted egalitarian-in-deviation rule. Finally, we explore the behavior of egalitarian-in-deviation rules with respect to the important notions of consistency and duality.
Claims manipulations discriminate between egalitarian rules
(Springer Verlag) Yin, Xiuxia; Calleja, Pere; Izquierdo Aznar, Josep Maria
We provide axiomatic characterizations of the constrained equal awards and constrainedequal losses rules by imposing immunity principles such as non-manipulability via merging(splitting) and strong non-manipulability via merging (splitting). We show that the constrainedequal awards rule is the unique rule satisfying strong non-manipulability via mergingand contraction independence. Replacing contraction independence with the weaker conditionof independence of redundant claims yields a new characterization. Moreover, strongnon-manipulability via merging in the above two axiomatizations can be substituted byconsistency and non-manipulability via merging. By duality, we achieve parallel characterizationsof the constrained equal losses rule.
A note on the non-coincidence of the core and the bargaining set in many-to-one assignment markets
(Elsevier, 2026-02-01) Atay, Ata; Núñez, Marina (Núñez Oliva); Solymosi, Tamás
This paper analyzes the extent to which well-known results on the relationship between the bargaining set, the core, and the kernel in one-to-one assignment games generalize to many-to-one assignment markets, and by extension, many-to-many markets. Using a minimal counterexample, we show that the bargaining set does not necessarily coincide with the core and that the kernel may not be contained within the core. We would like to highlight that the failure of the coincidence between the core and the bargaining set, as observed in the many-toone assignment game, is quite notable. This is especially true when compared to various other highly structured games, many of which emerge from combinatorial optimization problems, such as the one underlying many-to-one assignment games.
Novel time series methods in economic forecasting: SutteARIMA evidence from Indonesian Consumer Price Index and currency exchange rates
(Taylor & Francis, 2025) Ahmar, Ansari Saleh; Boj del Val, Eva
Economic forecasting demands precision. Yet traditional models often stumble when confronted with real-world complexity – the messy interplay of linear trends, non-linear disruptions and seasonal fluctuations that characterize financial time series. This study introduces SutteARIMA, a hybrid forecasting approach that marries the a-Sutte Indicator with ARIMA methodology. What makes this interesting? The model does not require users to distinguish between linear and non-linear data patterns beforehand – a practical advantage in volatile economic environments. Testing across 200 pseudo samples revealed SutteARIMA’s versatility across diverse pattern types. The real test came with Indonesian economic indicators during the COVID-19 period. Results speak clearly. For Indonesia’s exchange rate forecasting, SutteARIMA achieved MSE of 66,474.88 and MAPE of 1.33% – outperforming ARIMA by 16%. Consumer Price Index (CPI) forecasting proved even more impressive: MSE of 0.0493 and MAPE of 0.1594%, surpassing a-Sutte by 17%. These performance gains are not marginal; they represent substantial improvements in forecasting accuracy during periods of economic uncertainty. The implications extend beyond technical superiority. Policymakers working with limited preprocessing resources can deploy SutteARIMA confidently across various economic indicators. The method’s consistent performance across both trending exchange rates and stable price indices suggests robust applicability in diverse economic contexts.
LOSARI: A novel R-based statistical software to facilitate students’ self-regulated learning in statistics courses
(Elsevier, 2025) Bakri, Rizal; Boj del Val, Eva; Bado, Basri; Ahmar, Ansari Saleh
This article presents the development of LOSARI, a novel R-based statistical software designed to facilitate students’ self-regulated learning (SRL) in statistics courses. LOSARI can be accessed online without installation and allows students to perform statistical analyses through a point-and-click interface without coding. It integrates several innovative features: interactive video tutorials embedded in the analysis environment, real-time error notifications that guide students in correcting mistakes, and automatic interpretation of results to support independent learning. The software was validated through a student satisfaction survey using the End-User Computing Satisfaction (EUCS) model, which indicated that most users had positive perceptions of LOSARI and found it effective for learning statistics outside the classroom. Possible extensions and enhancements are also discussed.
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices
(Institute of Physics Pub., 2025-03-26) Solanilla Blanco, Sara Ana
We study the local sensitivity of heating degree day (HDD) and cooling degree day (CDD) temper-ature futures and option prices with respect to perturbations in the deseasonalized temperature or inone of its derivatives up to a certain order determined by the continuous-time autoregressive pro-cess modelling the deseasonalized temperature in the HDD and CDD indexes. We also consider anempirical case where a continuous-time process of autoregressive order 3 is ﬁtted to New York tem-peratures and we perform a study of the local sensitivity of these ﬁnancial contracts and a posterioranalysis of the results.
Sequential creation of surplus and the Shapley value
(Elsevier, 2025-11-06) Álvarez-Mozos, Mikel; Macho-Stadler, Inés; Pérez-Castrillo, David
We introduce the family of games with intertemporal externalities, where two disjoint sets of players play sequentially. Coalitions formed by the present players create worth today, but the way these players organize also affects the future: their partition imposes externalities that influence the worth of coalitions formed by future players. We adapt the classic Shapley axioms and explore their implications. They are not sufficient to uniquely determine a value. We propose two solution concepts based on interpreting the Shapley value as the players' expected contributions to coalitions: the one-coalition externality value and the naive value. Our main results show that adding a single axiom to the classical Shapley axioms yields a unique value: the one-coalition externality value arises adding a principle of equal treatment of direct and indirect contributions or an axiom on necessary players, while the naive value is characterized adding equal treatment of externalities.
Maximum and minimum payoffs for supermodular multisided assignment markets with local monotonicity
(Elsevier B.V., 2026-01-01) Martínez de Albéniz, F. Javier; Rafels, Carles; Ybern, Neus
We give formulas to obtain the maximum and minimum core payoffs for supermodular multisided assignment markets satisfying a local monotonicity condition. These formulas are obtained directly from the multisided array of data and we provide a core allocation where these bounds are attained. Similar formulas are known from Eriksson et al. (2000) for the bilateral Becker’s assortative assignment.
Transforming Eurostat’s Table 29 into an Actuarial Balance Sheet: A Net Worth Approach to Assessing Public Pension Solvency
(MDPI, 2025-09-25) Castañer, Anna; Garvey, Anne Marie; Pérez-Salamero González, Juan Manuel; Vidal-Meliá, Carlos
This article presents a transparent and replicable framework to assess the net worth of public pension systems within the broader context of fiscal sustainability and public sector balance sheets. Using Spain as a case study, it transforms Eurostat’s Table 29 data into an actuarial balance sheet and income statement, applying the Swedish open group (SOG) approach. The analysis shows that Spain’s pension system faces a significant funding shortfall, with assets covering only 72% of its liabilities. The proposed method enhances fiscal transparency and provides policymakers with a practical tool to evaluate and improve long-term pension sustainability across different institutional contexts.
Optimistic and pessimistic approaches for cooperative games
(Elsevier B.V., 2026-01-16) Atay, Ata; Trudeau, Christian
Cooperative game theory explores how to fairly allocate the joint value generated by a group of decision-makers, but its application is compromised by the large number of counterfactuals needed to compute the value of all coalitions, a problem made even more complicated when externalities are present. We provide a theoretical foundation for a simplification used in many applications, in which the value of a coalition is computed assuming that they either select before or after the complement set of agents, providing optimistic and pessimistic values on what a coalition should receive. In a vast set of problems exhibiting what we call feasibility externalities, we show that ensuring a coalition does not receive more than its optimistic value is always at least as difficult as ensuring it receives its pessimistic value. Furthermore, under the presence of negative externalities, we establish the existence of stable allocations that respect these bounds. Finally, we examine well-known optimization-based applications and their corresponding cooperative games to show how our results lead to new insights and allow the derivation of further results from the existing literature.
Limited farsightedness in priority-based matching
(Wiley, 2025-07-31) Atay, Ata; Mauleon, Ana; Vannetelbosch, Vincent
We introduce the horizon- vNM stable set to study one-to-one priority-based matching problems with limited farsightedness. We show that, once agents are sufficiently farsighted, the matching obtained from the Top Trading Cycles (TTC) algorithm becomes stable: a singleton set consisting of the TTC matching is a horizon- vNM stable set if the degree of farsightedness is greater than three times the number of agents in the largest cycle of the TTC. Our main results do not hold per se for many-to-one priority-based matching problems: more coordination and cooperation on behalf of the agents are required. In the presence of couples, farsightedness may improve both efficiency and stability. When each agent owns an object, a singleton set consisting of the TTC matching is the unique horizon- vNM stable set.
Matching markets with farsighted couples
(Springer Verlag, 2025-05-01) Atay, Ata; Funck, Sylvain; Mauleon, Ana; Vannetelbosch, Vincent
We adopt the notion of the farsighted stable set to determine which matchings are stable when agents are farsighted in matching markets with couples. We show that a singleton matching is a farsighted stable set if and only if the matching is stable. Thus, matchings that are stable with myopic agents remain stable when agents become farsighted. Examples of farsighted stable sets containing multiple non-stable matchings are provided for markets with and without stable matchings. For couples markets where the farsighted stable set does not exist, we propose the DEM farsighted stable set to predict the matchings that are stable when agents are farsighted.
Global, regional, and national causes of death in children and adolescents younger than 20 years: an open data portal with estimates for 2000–21 [COMMENT]
(Elsevier, 2024-01-01) Villavicencio Goula, Francisco; Perin, Jamie; Eilerts-Spinelli, Hallie; Yeung, Diana; Prieto-Merino, David; Hug, Lucia; Sharrow, David; You, Danzhen; Strong, Kathleen L.; Black, Robert E.; Liu, Li
Almost 6.5 million children and adolescents younger than 20 years died globally in 2021, the vast majority from preventable causes. Reliable and timely data on causes of death are needed to better focus the attention of the global community on improving the survival of children and adolescents and to guide effective policy and programmes. But no less importantly, these data must be publicly available and easily accessible. We introduce an open data portal with yearly estimates on causes of death for children and adolescents younger than 20 years for the period 2000–21. The data hosted in this portal are part of a joint effort between the Child and Adolescent Causes of Death Estimation (CA CODE) project and the United Nations Inter-agency Group for Child Mortality Estimation (UN IGME). The portal is managed by UNICEF and was first launched in 2008 by UN IGME. Cause-specific mortality estimates produced by the CA CODE project have now been incorporated for the first time, aiming to start a dialogue with countries about their mortality data to improve cause-specific estimates while increasing data transparency and use at the country level.
Leveraging xAI for enhanced surrender risk management in life insurance products
(Elsevier España, 2025-09-01) Bermúdez, Lluís; Anaya Luque, David; Belles Sampera, Jaume
Explainable Artificial Intelligence (xAI) plays a crucial role in enhancing our understanding of decision-making processes within black-box Machine Learning models. Our objective is to introduce various xAI methodologies, providing risk managers with accessible approaches to model interpretation. To exemplify this, we present a case study focused on mitigating surrender risk in insurance savings products. We begin by using real data from universal life policies to build logistic regression and tree-based models. Using a range of xAI techniques, we gain valuable insight into the inner workings of tree-based models. We then propose a novel supervised clustering approach that integrates Shapley values with a Kohonen neural network (KNN). The process involves three main steps: computing Shapley values from a supervised tree-based model; clustering individuals into homogeneous profiles using an unsupervised KNN; and interpreting these profiles with a supervised decision tree model. Finally, we present several key findings derived from the application of xAI techniques, which ha
On the relationship between life expectancy, modal age at death, and the threshold age of the life table entropy
(Max-Planck-Gesellschaft, 2024-10-04) Micheletti, Chiara; Villavicencio Goula, Francisco
Indicators of longevity like the life expectancy at birth or the modal age at death are always positively affected by improvements in mortality. Instead, for lifespan variation it has been shown that there exists a threshold age above and below which averting deaths respectively increases or decreases such variation. ( ... )
Population Lorenz-monotonic allocation schemes for TU-games
(Springer Verlag, 2024-09-01) Izquierdo Aznar, Josep Maria; Montes, Jesús; Rafels, Carles
Sprumont (Games Econ Behav 2:378–394, 1990) introduces population monotonic allocation schemes (PMAS) and proves that every assignment game with at least two sellers and two buyers, where each buyer-seller pair derives a positive gain from trade, lacks a PMAS. In particular glove games lacks PMAS. We propose a new cooperative TU-game concept, population Lorenz-monotonic allocation schemes (PLMAS), which relaxes some population monotonicity conditions by requiring that the payoff vector of any coalition is Lorenz dominated by the corresponding restricted payoff vector of larger coalitions. We show that every TU-game having a PLMAS is totally balanced, but the converse is not true in general. We obtain a class of games having a PLMAS, but no PMAS in general. Furthermore, we prove the existence of PLMAS for every glove game and for every assignment game with at most five players. Additionally, we also introduce two new notions, PLMAS-extendability and PLMAS-exactness, and discuss their relationships with the convexity of the game.
Population Lorenz-monotonic allocation schemes for TU-games
(Springer Verlag, 2024-09-01) Izquierdo Aznar, Josep Maria; Montes, Jesús; Rafels, Carles
Sprumont (Games Econ Behav 2:378–394, 1990) introduces population monotonic allocation schemes (PMAS) and proves that every assignment game with at least two sellers and two buyers, where each buyer-seller pair derives a positive gain from trade, lacks a PMAS. In particular glove games lacks PMAS. We propose a new cooperative TU-game concept, population Lorenz-monotonic allocation schemes (PLMAS), which relaxes some population monotonicity conditions by requiring that the payoff vector of any coalition is Lorenz dominated by the corresponding restricted payoff vector of larger coalitions. We show that every TU-game having a PLMAS is totally balanced, but the converse is not true in general. We obtain a class of games having a PLMAS, but no PMAS in general. Furthermore, we prove the existence of PLMAS for every glove game and for every assignment game with at most five players. Additionally, we also introduce two new notions, PLMAS-extendability and PLMAS-exactness, and discuss their relationships with the convexity of the game.
Modeling paid‑ups in life insurance products for risk management
(Palgrave Macmillan, 2024-05-07) Anaya Luque, David; Bermúdez, Lluís; Belles Sampera, Jaume
Life insurance companies are subject to various risks related to universal life products. One such risk-paid-up-arises when policyholders, at some point before maturity, exercise their option to stop paying the periodic premiums initially agreed to for the life of the policy. Here, several predictive models are applied, aimed at anticipating the future state of in-force premium payment policies. This is undertaken in conjunction with balancing techniques, designed to avoid misclassification errors caused by the scarcity of paid-up events in our data. Using the findings from our predictive modeling, we initially identify certain policyholder profiles that seem less likely to paid-up premiums and consequently may be considered as potential targets for underwriting. Additionally, we delve into an essential aspect of policy design: surrender fees. Our analysis highlights a pattern where surrender fees, intended to mitigate surrender risk, may actually exacerbate the risk of policies becoming paid-up under certain circumstances.
Proportional clearing mechanisms in financial systems: An axiomatic approach
(Elsevier B.V., 2024-04-01) Calleja, Pere; Llerena Garrés, Francesc
We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021).

Examinar

Enviaments recents