Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
URI permanent per a aquesta col·leccióhttps://hdl.handle.net/2445/20947
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ArticleMaximum 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, NeusWe 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.- ArticleOptimistic and pessimistic approaches for cooperative games(Elsevier B.V., 2026-01-16) Atay, Ata; Trudeau, ChristianCooperative 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.
- ArticleLimited farsightedness in priority-based matching(Wiley, 2025-07-31) Atay, Ata; Mauleon, Ana; Vannetelbosch, VincentWe 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.
- ArticleTransforming 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, CarlosThis 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.
- ArticleGlobal, 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, LiAlmost 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.
- ArticleMatching markets with farsighted couples(Springer Verlag, 2025-05-01) Atay, Ata; Funck, Sylvain; Mauleon, Ana; Vannetelbosch, VincentWe 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.
- ArticleLeveraging xAI for enhanced surrender risk management in life insurance products(Elsevier España, 2025-09-01) Bermúdez, Lluís; Anaya, David; Belles Sampera, JaumeExplainable 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
- ArticleOn 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, FranciscoIndicators 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. ( ... )
- ArticlePopulation Lorenz-monotonic allocation schemes for TU-games(Springer Verlag, 2024-09-01) Izquierdo Aznar, Josep Maria; Montes, Jesús; Rafels, CarlesSprumont (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.
- ArticlePopulation Lorenz-monotonic allocation schemes for TU-games(Springer Verlag, 2024-09-01) Izquierdo Aznar, Josep Maria; Montes, Jesús; Rafels, CarlesSprumont (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.
- ArticleModeling paid‑ups in life insurance products for risk management(Palgrave Macmillan, 2024-05-07) Anaya, David; Bermúdez, Lluís; Belles Sampera, JaumeLife 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.
- ArticleProportional clearing mechanisms in financial systems: An axiomatic approach(Elsevier B.V., 2024-04-01) Calleja, Pere; Llerena Garrés, FrancescWe 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).
- ArticleAn Extension of Interval Probabilities using Modal Interval Theory and its Application to Non-life Insurance(Springer Verlag, 2025-04-21) Adillón, Román; Jorba, Lambert; Mármol, MaiteIn this paper we apply the modal interval theory to the actuarial field to study the analysis and control of solvency in non-life insurance portfolios. The advantages of modal intervals over classical intervals are the interpretative field and the extension of the calculation possibilities that modal intervals offer. To achieve this, we will analyse and propose some properties of modal interval probability that allow us to ensure that the cumulative distribution function and the probability density function of the aggregated cost with which we will work are modal interval functions and, therefore, they can be correctly interpreted from this new point of view.
- ArticleSemi-Flexible Majority Rules for Public Good Provision(Springer Verlag, 2024-04-02) Gersbach, Hans; Tejada, OriolWe introduce semi-flexible majority rules for public good provision with private valuations. Such rules take the form of a two-stage, multiple-round voting mechanism where the output of the first stage is the default alternative for the second stage and the vote-share thresholds used in every round of binary voting (a) vary with the alternative on the table for a public-good level and (b) require a qualified majority for approving the alternative on the table by stopping the procedure. We show that these mechanisms implement the ex post utilitarian optimal public-good level, provided valuations can only be high or low. This public-good level is chosen after all potential socially optimal alternatives have been picked for a voting round. We explore ways to reduce the number of voting rounds and develop a compound mechanism when there are three or more valuation types.
- ArticleLongevity Risk and Annuitisation Decisions in the Absence of Special-Rate Life Annuities(MDPI, 2025-02) Andrés Sánchez, Jorge de; González-Vila Puchades, LauraLongevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity. Special-rate life annuities, which are priced, among other factors, on the basis of health and lifestyle factors, go beyond traditional considerations of age and sex by using modified mortality tables. However, they are not available in many countries. In regions where life annuities are priced solely via standard mortality tables, retirees with below-average life expectancy may face unfair pricing. This study aims to quantify this actuarial unfairness and proposes an alternative annuitisation strategy for these retirees. The strategy allows them to transfer longevity risk by acquiring a life annuity on the basis of their actual mortality probabilities, thereby mitigating actuarial inequities. Additionally, the paper examines how tax incentives can exacerbate actuarial unfairness and, specifically for Spanish tax regulations, compares different alternatives under two scenarios related to the sources used for purchasing life annuities
- ArticleTwo families of values for global games(Springer Verlag, 2025-02-01) Alonso-Meijide, José Mª; Álvarez-Mozos, Mikel; Fiestras-Janeiro, M. Gloria, 1962-; Jiménez-Losada, AndrésA global (cooperative) game describes the utility that the whole set of players generates depending on the coalition structure they form. These games were introduced by Gilboa and Lehrer (1991) who proposed and characterized a generalization of the Shapley value. We introduce two families of point valued solutions that contain the Gilboa-Lehrer value. We characterize each family by means of reasonable properties, which are related to the ones used by Gilboa and Lehrer.
- ArticleSome advances in cooperative game theory: indivisibilities, externalities and axiomatic approach(Elsevier B.V., 2024-12-01) Funaki, Yukihiko; Núñez, Marina (Núñez Oliva)This article reviews some contributions on cooperative games where the Journal of Mathematical Economics has been influential, namely the games with non-transferable utility and some market games with indivisibilities. Additionally, it presents some more recent advances on two aspects of the theory of cooperative games: the introduction of externalities in the worth of the coalitions and the axiomatic characterization of solutions.
- ArticleConvergence and divergence in mortality: A global study from 1990 to 2030.(Public Library of Science (PLoS), 2024-01-17) Atance, David; Claramunt Bielsa, M. Mercè; Varea, Javier; Aburto, José ManuelAn empirical question that has motivated demographers is whether there is convergence or divergence in mortality/longevity around the world. The epidemiological transition is the starting point for studying a global process of mortality convergence. This manuscript aims to provide an update on the concept of mortality convergence/divergence. We perform a comprehensive examination of nine different mortality indicators from a global perspective using clustering methods in the period 1990-2030. In addition, we include analyses of projections to provide insights into prospective trajectories of convergence clubs, a dimension unexplored in previous work. The results indicate that mortality convergence clubs of 194 countries by sex resemble the configuration of continents. These five clubs show a common steady upward trend in longevity indicators, accompanied by a progressive reduction in disparities between sexes and between groups of countries. Furthermore, this paper shows insights into the historical evolution of the convergence clubs in the period 1990-2020 and expands their scope to include projections of their expected future evolution in 2030.
- ArticleHousehold Refundable Utility by taking out refundable insurance: Empirical study in the Spanish auto insurance market(Elsevier B.V., 2024-08-01) Claramunt Bielsa, M. Mercè; Costa, M. Teresa (Maria Teresa), 1951-; Mármol, Maite; Varea, JavierThis study investigates the expected benefits for Spanish households if they choose to purchase a refundable insurance policy that covers the deductible in the event of vehicle accidents. Using data obtained from the Spanish Survey of Household Finances alongside market data, this paper provides valuable empirical insights concerning the impact of refundable insurance policies on the overall expected utility of households (referred to as Household Refundable Utility) both from a technical-actuarial and a microeconomic point of view.
- ArticleThe value of perfect information for the problem: a sensitivity analysis(Springer Nature, 2024-12) Boncompte, Mercè; Guerrero Manzano, María del MarThis paper examines problems in decision theory where the number of alternatives and states of nature are finite. Previous studies have defined the concept of “the value of perfect information for the problem” (VPIP). This metric allows us to obtain an upper bound on the amount a decision-maker would be willing to pay for perfect information under the specific conditions of a problem. This bound is particularly important when the decision is unrepeatable, providing a more accurately adjusted measure than the one traditionally obtained with “the expected value of perfect information” (EVPI) (...)