Person: Vilar Zanón, José Luis
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First Name
José Luis
Last Name
Vilar Zanón
Affiliation
Universidad Complutense de Madrid
Faculty / Institute
Ciencias Económicas y Empresariales
Department
Economía Financiera, Actuarial y Estadística
Area
Economía Financiera y Contabilidad
Identifiers
6 results
Search Results
Now showing 1 - 6 of 6
Item Matemática actuarial no vida. Modelos, medición del riesgo y solvencia: curso en diapositivas. 2024. MCAF-UCM(2023) Vilar Zanón, José LuisDotar a l@s alumn@s de las herramientas de modelización estocástica en seguros: • Modelización: número de siniestros, heterogeneidad de la cartera, cuantías de los siniestros, valor extremo, cálculo numérico de distribuciones compuestas, aproximaciones. • Tarificación: los principios para el cálculo de primas y los sistemas de tarificación a priori y a posteriori. • Medidas del riesgo: propiedades, principios para el cálculo de primas, distintos enfoques para definir medidas de riesgo, capital de solvencia para afrontar una operación de seguro. Expresiones analíticas y estimaciones muestrales de medidas de riesgos. • Ordenación de riesgos: distintos enfoques para definir órdenes estocásticos y preferencias sobre riesgos. • Reaseguro: modelización y distintas modalidades. Reaseguro óptimo con varias subcarteras. • Solvencia y provisiones técnicas con especial énfasis en la provisión de prestaciones bajo el enfoque de Solvencia II. Métodos Chain-Ladder.Item An average model approach to experience based premium rates discounts: an application to Spanish agricultural insurance(European Actuarial Journal, 2020) De Frutos, Estela; Vilar Zanón, José Luis; Heras Martínez, Antonio JoséWe address some issues in agricultural insurance, describing drawbacks of the bonus-malus system (BMS) methodology used in Spain and many other EU countries. We develop an alternative experience based premium rate discount system taking into account the adverse years when high losses caused by extreme weather events happen. Our contribution consists of a two-step methodology. Firstly, we use tobit or Tweedie regressions to calculate yearly correction rates. Secondly, we calculate the mean of the correction rates. This average model acts as a bufer against adverse year losses. We compare three alternatives: our two resulting average models and the BMS operating in the Spanish line of business exemplifed—table grapes.Item Matemáticas de la valoración y la cobertura del riesgo en derivados financieros: curso en Diapositivas. MCAF-UCM(2023) Vilar Zanón, José LuisComprender las ideas que fundamentan los principales modelos de valoración, y su formulación matemática tanto en tiempo discreto como en el continuo. Comprender los principios básicos de la cobertura del riesgo en derivados. Comprender la aplicación de estos conocimientos a productos de seguros de vidaItem Application of extreme value theory to hail risk assessment and management: a study in spanish wine grapes insurance(2023) Vilar Zanón, José Luis; Zhou, NanSpanish crop insurance is a remarkably well-organized business organized around the coinsurance pool Agroseguro. Concerns on management in Spanish Crop insurance system have arisen motivated by the scientific discussion on climatic change. Linking this climate change to the evolution of key insurance figures, like premiums or, has become an important research for insurance industry. Before the above-mentioned task, the evolution of the severities extreme behavior must be investigated to enlighten tendencies.We consider hail risk particularized to the line of Spanish wine grapes. We assess its evolution using data collected from 1990 to 2022. We are interested in extreme behavior, so we apply Extreme Value tools to study the asymptotic evolution of the excesses over thresholds. We analyze the evolution through the years of the thresholds and the characteristics of the asymptotic distribution of the excesses.Item On the definition of an actuarial climate index for the Iberian Peninsula(2023) Nan, Zhou; Vilar Zanón, José Luis; Garrido, José; Heras Martinez, José AntonioClimate change is usually defined as a long-term shift in climate patterns affecting the planet globally. The main consequences of climate change are a rise in the average temperatures in many regions, and an increase in the frequency and intensity of extreme weather events, such as floods, droughts, storms, or hurricanes. Climate change is also associated with a rise in sea levels, more frequent severe wildfires, a loss of biodiversity, and many other disrupting events with serious economic impacts. This new set of risks is increasingly affecting both the frequency and severity of claims in different insurance branches. In order to help insurance companies to predict and manage these new risks, actuaries have defined the Actuaries Climate Index (ACI), which combines information from several important weather variables from the historical record of the United States and Canada. The ACI shows a significant increasing trend over the years. It is important to note, however, that the impact of climate change is not the same in all parts of the planet: different regions and countries are affected in different ways. Therefore, it is important to check if the ACI is as useful to assess climate risk outside the United States and Canada. In this paper, we follow the ACI methodology to build an actuarial climate index for the Iberian Peninsula, which we call Iberian Actuarial Climate Index (IACI). The paper reviews the methodology and the data used to obtain the IACI and studies the impact of climate change in the Iberian Peninsula.Item Informática y cálculo numérico: curso en diapositivas. MCAF UCM(2023) Vilar Zanón, José Luis1- Introducir las técnicas de Cálculo Numérico necesarias para las asignaturas del máster en Ciencia Actuarial y Financiera y para el posterior desempeño profesional. 2- Introducir las técnicas de simulación necesarias para las asignaturas del máster Ciencia Actuarial y Financiera y para el posterior desempeño profesional.