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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Short-Time Behavior of the At-the-Money Implied Volatility for the Jump-Diffusion Stochastic Volatility Bachelier Model
(Society for Industrial and Applied Mathematics., 2026-06-04) Alòs, Elisa; Burés Mogollón, Òscar; Vives i Santa Eulàlia, Josep, 1963-
In this paper we obtain expressions for the short-time behaviour of the at-the-money implied volatility (ATM-IV) level and skew for a jump-diffusion asset price. The diffusion part is assumed to be the stochastic volatility Bachelier model and the jumps are modelled by a pure-jump Lévy process with drift so that the asset price is a martingale. Regarding the level, we show that the short-time behaviour of the ATM-IV level is the same for all pure-jump Lévy processes and, regarding the skew, we give conditions on the law of the jumps for the skew to exist. To do so, we combine Malliavin Calculus techniques to obtain the formulas for the compound Poisson case and, using an adequate approximation scheme, we extend the formulas for Lévy processes with infinite activity, including some cases of Lévy processes with infinite variation paths. We also provide numerical evidence that confirm the theoretical results found in the paper.
Supervised clustering using SOM for severity-based pattern detection in urban traffic crashes
(Elsevier, 2026) Bermúdez, Lluís; Morillo, Isabel; Salazar, Anna
Urban traffic crashes remain a critical public health challenge, particularly for vulnerable road users. This study introduces a novel data-driven methodology to support urban road safety planning by identifying well-defined, interpretable crash typologies associated with fatal or serious injuries. The proposed framework relies on a supervised clustering strategy that integrates SHAP (SHapley Additive exPlanations) values with Self-Organizing Maps (SOM). Applied to urban crash data from Barcelona (2017-2019), the approach uncovers ten distinct and interpretable crash typologies, capturing high-risk scenarios such as speed-related nighttime collisions and pedestrian-heavy vehicle conflicts, as well as less explored patterns including two-wheeler falls and bicyclemotorcycle interactions. By combining SHAP-based explanations with topology-preserving neural mapping, the SOM framework reveals subtle gradations of risk, preserves neighborhood relationships among crash profiles, and enhances subgroup detection and interpretability beyond traditional unsupervised clustering methods and standard eXplainable Artificial Intelligence (xAI) summaries. These results underscore the potential of SOM-based supervised clustering to inform targeted, data-driven safety interventions. More broadly, the study advances methodological research on supervised clustering and offers a transferable tool for detecting high-dimensional risk patterns in urban safety analysis and other applied domains.
Cuentas vivienda: rentabilidad y fiscalidad
(Instituto Español de Analistas Financieros, 2009) González-Vila Puchades, Laura; Ortí Celma, Francesc J. (Francesc Josep); Sáez Madrid, José B.
La vigente ley del IRPF trata de forma homogénea todos los rendimientos que provengan de las rentas del ahorro, integrándolos en la denominada Base Imponible del Ahorro у aplicándoles un tipo de gravamen fijo del 18%, con independencia del tiempo que haya transcurrido para su generación y del tipo de producto financiero del que se deriven.
Incidencia de la fiscalidad en la rentabilidad de seguros de ahorro y fondos de inversión
(Instituto Español de Analistas Financieros, 2006) González-Vila Puchades, Laura; Sáez Madrid, José B.; Ortí Celma, Francesc J. (Francesc Josep)
La actual situación económica en que nos hayamos inmersos, en la que los tipos de interés que ofrecen los diferentes productos financieros disponibles en el mercado español apenas superan la inflación, ha hecho proliferar la inversión por parte de los particulares en ciertos productos que, además de ofrecer una rentabilidad más o menos segura, incorporan ciertas ventajas fiscales en forma de bonificaciones, reducciones o exenciones. Estas ventajas generan una rentabilidad adicional que, junto a la rentabilidad financiera propia del producto, da lugar a lo que en el mercado se conoce como rentabilidad financiero-fiscal.
A life insurance model with asymmetric time preferences
(Elsevier B.V., 2024-11-01) Alderborn, Joakim
We build a life insurance model in the tradition of Richard (1975) and Pliska and Ye (2007). Two agents purchase life insurance by continuously paying two premiums. At the random time of death of an agent, the life insurance payment is added to the household wealth to be used by the other agent. We allow for the agents to discount future utilities at different rates, which implies that the household has inconsistent time preferences. To solve the model, we employ the equilibrium of Ekeland and Lazrak (2010), and we derive a new dynamic programming equation which is designed to find this equilibrium for our model. The most important contribution of the paper is to combine the issue of inconsistent time preferences with the presence of several agents. We also investigate the sensitivity of the behaviors of the agents to the parameters of the model by using numeric analysis. We find, among other things, that while the purchase of life insurance of one agent increases in her own discount rate, it decreases in the discount rate of the other agent.
An update about herding behavior during the 2008 and Covid-19 crises
(Instituto de Actuarios Españoles, 2024) Claramunt Bielsa, M. Mercè; González-Vila Puchades, Laura; Hijazi, Mohamed Mehdi
The purpose of this article is to analyze the effect of the Covid-19 crisis on herding behaviour after it ended, comparing it to the 2008 crisis across a large number of countries. Although the existence of herding behavior in financial markets over crisis periods has already been evaluated by some authors, this evaluation has been limited to only a few markets, and many others remain unevaluated. However, this article explores herding behaviour during financial crises, focusing on the 2008 global financial crisis and the Covid-19 pandemic, offering a comparative analysis of both events. Using the CSAD of returns method, a sample composed of 31 stock markets and 195.174 observation days (from 02 January 2000 till 05 May 2023) is analyzed. Herding behaviour is found during the entire period, during the different periods of crises, during both high and low volatility periods, and during both high and low trading volume periods.
Understanding Reverse Mortgage Acceptance in Spain with Explainable Machine Learning and Importance–Performance Map Analysis
(MDPI, 2025-11) Andrés Sánchez, Jorge de; González-Vila Puchades, Laura
In developed countries such as Spain, where the population is increasingly aging, retirement planning and longevity risk represent major societal challenges. In Spain, in particular, a significant proportion of household wealth is concentrated in real estate, primarily in the form of owner-occupied housing. For this reason, one emerging financial product in the retirement savings space is the reverse mortgage (RM). This study examines the determinants of acceptance of this financial product using survey data collected from Spanish individuals. The intention to take out an RM is explained through performance expectancy (PE), effort expectancy (EE), social influence (SI), bequest motive (BM), financial literacy (FL), and risk (RK). The analysis applies machine learning techniques: decision tree regression is used to visualize variable interactions that lead to acceptance; random forest to improve predictive capability; and Shapley Additive Explanations (SHAP) to estimate the relative importance of predictors. Finally, Importance–Performance Map Analysis (IPMA) is employed to identify the variables that merit greater attention in the acceptance of RMs. SHAP values indicate that PE and SI are the most influential predictors of intention to use RMs, followed by BM and EE with moderate importance, whereas the positive influence of RK and FL is more reduced. The IPMA highlights PE and SI as the most strategic drivers, and RK and BM act as relevant barriers to the widespread adoption of RMs.
Do Reverse Mortgages Reduce Poverty Rates Among Older Adults Living Alone in Spain? Analysing Their Overall and Gender-Specific Effects
(Springer Verlag, 2025-06-12) González-Vila Puchades, Laura; Mármol Jiménez, Maite; Solanilla Blanco, Sara Ana; Varea Soler, Xavier
This paper investigates the potential of reverse mortgages (RMs) to alleviate poverty among older adults living alone in Spain, focusing on both general effects and gender-specific disparities. Using a combined income-wealth approach, the analysis highlights the role of housing equity, which is often the primary asset for older homeowners. While previous research has examined the impact of RMs on poverty rates among the broader population aged 65 and over, this work narrows its scope to single-person households, a growing and particularly vulnerable subgroup facing significant economic and social challenges. The findings reveal that RMs can reduce poverty rates, improve the financial well-being of these households and decrease gender disparities. Thus, the work shows RMs as a policy tool to improve the economic situation and quality of life for older adults living alone and underscores the need for targeted strategies to address gender-specific vulnerabilities.
A Coalitional Great Fish War Model with Quasi-Hyperbolic Discounting
(Springer Verlag, 2025-06-01) Alderborn, Joakim; Marín Solano, Jesús
This paper studies the coalitional great fish war model in a setting with βδ-preferences (or quasi-hyperbolic discounting). We derive the equilibrium strategies and payoffs in this coalition game under non-cooperation, full cooperation, and partial cooperation, under simultaneous moves and with first-mover advantage for the coalition. We focus on the effects of the short-run discount factor β on the sustainability of cooperation. We find that the introduction of quasi-hyperbolic discounting can have a significant impact on the existence of stable coalitions. In particular, in contrast with the standard case of exponential discount functions, in which the coalitions of more than two players are always unstable under simultaneous moves, the grand coalition can be stable if the bias towards the present is sufficiently high (i.e., for small values of β). In addition, we show that, under simultaneous moves, there can be up to three sustainable coalitions, including the grand coalition, and larger coalitions are better from an ecological perspective, since total harvesting is lower. Thus, the consideration of quasi-hyperbolic discounting offers a promising avenue to address the challenge posed by small coalitions.
Merging-splitting-proofness in financial systems: A characterization result
(Elsevier, 2026-01-01) Calleja Cortés, Pedro; Llerena Garrés, Francesc
In this paper, we explore the issue of manipulability in the setting of financial systems by considering two weak forms of immunity: merging-proofness and splitting-proofness. Not surprisingly, splitting-proofness conflicts with basic requirements such as the priority of debt over equity and the limited liability of equity. Remarkably, we provide a comprehensive characterization of the class of bankruptcy rules that gives rise to financial rules that satisfy merging-proofness.
Do we need a (large) committee?
(Elsevier B.V., 2025-09-01) Gersbach, Hans; Mamageishvili, Akaki; Tejada, Oriol
This paper studies committee design when a homogeneous population is uncertain about which alternative is correct, individuals can acquire costly information about the state of the world, and the decision must be taken via voting with the majority rule. We assume verifiability of costs and cost sharing, which are realistic assumptions in many applications, e.g. if the time spent in learning is recorded, or if reports have to be produced. We show that the optimal committee size depends on the properties of the cost function and on the size of the population. If either the marginal cost function satisfies a standard single-crossing condition or the population is sufficiently large, it is optimal to delegate voting to a small committee and often to a single individual, in which case no committee is needed at all. If information acquisition costs increase slowly for small values of information, but the magnitude of such costs is large, the optimal committee might comprise many members. Our results add a rationale for the widespread use of small committees for decision-making.
Self-consistency for multi-valued solutions and reasonable outcomes
(Elsevier B.V., 2025-10-01) Calleja, Pere; Llerena Garrés, Francesc; Sudhölter, Peter
We explore the compatibility of uniform self-consistency and ordinary self-consistency, two extensions for handling multi-valued solutions within the consistency principle introduced by Hart and Mas-Colell (1989), with basic properties, such as reasonableness, which establishes bounds for payoffs based on the marginality principle. Our analysis focuses on convex games and balanced games through the study of almost positive games, a subset of convex games that plays a crucial role in the vector lattice structure of games. Further, we provide new axiomatic foundations of the core incorporating these consistency properties.
Natural Resource Management Under Increasing Scarcity and Competition: The Case of Groundwater
(Walter de Gruyter, 2026-01) 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.
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.
Egalitarian-in-deviation rules relative to a reference system for resolving conflicting claim problems
(Springer Verlag, 01-07-2025) 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.
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, 2026-01) 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.

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