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E-PrintsUCM (55,859 recursos)
This site is a university repository providing access to the publication output of the institution. The site interface is available in English or Spanish.

Tipo = Documento de trabajo o Informe técnico

Mostrando recursos 1 - 20 de 1,314

1. Biblioteca Histórica "Marqués de Valdecilla": memoria 2013 - Torres Santo Domingo, Marta
Un total de 3.055 usuarios presenciales han consultado 8.751 libros y documentos en el año 2013, lo que supone una leve bajada del servicio con relación a años anteriores que hay que poner en relación con la bajada del número de estudiantes,doctorados, alumnos de master e investigadores dedicados a tiempo completo a tareas de investigación.Los principales servicios virtuales que ofrece la Biblioteca Histórica son la consulta de libros antiguos a través del catálogo Cisne y la consulta de los libros digitalizados a texto completo en las distintas bibliotecas digitales en las que están depositados los libros de la Biblioteca: desde...

2. The relationship between environment and growth: a model with externalities due to pollution - Escot Mangas, Lorenzo; Galindo Martín, Miguel Ángel
The goal of this paper is to analyse the relationship between economic growth and environment. We will take into account the neoclassical growth model and we will include the negative externalities on production derived from pollution. In this case, we will be able to study how the basic conclusions of the neoclassical growth model change. The results justi:tY that opposite measures to those defended by traditional neoclassical models must be introduced to improve long term per capita income. These policies must be coordinated with the environmental policy that reduces the negative effects derived from the pollution externalities.

3. European Market Portfolio Diversification Strategies across the GFC - Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety of hold-out periods and...

4. Mainstream Macroeconomics in the Light of Popper - Ayala, Iván H; Palacio Vera, Alfonso
Macroeconomics has been dominated over the last four decades by the Rational Expectations Hypothesis (REH) which implies that economies are inherently stable. REH is a key element of the New Neoclassical Synthesis (NNS) macroeconomic model which has also played a dominant role in theory and policy analysis over the last two decades. We analyse REH in light of Popper´s evolutionary theory of knowledge and learning. We claim that the latter provides macroeconomics with an epistemological and ontological foundation that, unlike REH, takes full account of human fallibility and upon which economists can build a more useful macroeconomic theory.

5. La crisis de las cajas y la respuesta legislativa - Sánchez-Calero Guilarte, Juan
Las cajas de ahorros se han visto abocadas a una crisis conjunta, al haberse procedido a una revisión radical de su normativa. El artículo analiza los cambios producidos con respecto a las cajas desde el estallido de la crisis financiera y hasta la aprobación de la Ley 26/2013. En buena medida, la crisis de las cajas de ahorro se ha debido a los defectos de la legislación aplicable a las mismas a partir de la LORCA de 1985.

6. Zero coupon bonds assesment using a stochastic model for the discount factor - Usábel Rodrigo, Miguel Arturo
In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level (random instantaneous rate oi) for a random periodof time(ti) until a new random rate should be considered, oi+1, that will remain for ti+1, waiting time untill the next change in the rate of interest. Three models were developed using the approach cited aboye for random rate of interest and random waiting times between changes in the rate of interest. Using easy integral transforms (Laplace and Fourier) we will be able to calculate the moments of the probability function of the cliscount factor, V(t), and...

7. Multivariate characteristics of risk ruin processes using T-years deferred ruin probability - Usábel Rodrigo, Miguel Arturo
Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.

8. Calculating ultimate non-ruin probabilities when claim sizes follow a generalized r-convolution distribution function - Usábel Rodrigo, Miguel Arturo
The non-ruin probability, for initial reserves u, in the classical can be calculated using the so-called Bromwich-Mellin inversion formula, an outstanding result from Residues Theory first introduced for these purposes by Seal(1977) for exponential claim size. We will use this technique when claim sizes follow a generalized r-convolution function distribution. Some of the most frequently used heavy-tailed distributions in actuarial science belongs to this family. Thorin(1977) or Berg(1981) proved that Pareto distributions are members of this family; so Thorin(1977) did with Log-normal distributions.

9. Approximations for multivariate characteristics of classical risk ruin processes - Usábel Rodrigo, Miguel Arturo
Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.

10. La geografía del gasto público en prestaciones por desempleo en España - López López, María Teresa; Melguizo Sánchez, Angel
Estudio sobre la geografía del gasto público en prestaciones por desempleo distribuido por Comunidades Autónomas en el período de 1990 a 1996 a través de los siguientes puntos: comportamiento de las variables del mercado de trabajo, rasgos del sistema institucional vigente, beneficiarios, nivel de protección y el comportamiento del gasto en las CC.AA y su relación con el PIB.

11. Applications to risk theory of a Montecarlo multiple integration method - Usábel Rodrigo, Miguel Arturo
The evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risle theory. The variance reduction achieved compared to straight simulation and some specific properties malee this approach interesting when approximating ruin probabilities.

12. Insurance considering a new stochastic model for the discount factor - Usábel Rodrigo, Miguel Arturo
In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level(random instantaneous rate &i) for a random period of time(ti) until a new random rate should be considered, &i+ 1, that will remain for ti+ 1, waiting time untill the next change in the rate of interest. Three models were developed using the approach cited aboye for random rate of interest and random waiting times between changes in the rate of interest. Using easy integral transforms (Laplace and Fourier) we will be able to ca1culate the moments of the probability function of the discount factor,...

13. Numerical evaluation of renewal equations: applications to risk theory and financial models - Usábel Rodrigo, Miguel Arturo
The so-called Renewal Theory is a frequently used methodology in applied mathematics. Renewal Theory is mainly focussed on solving a Volterra integral equation of the second kind known as Renewal Integral EquationAn interesting problem arises when choosing the appropriate numerical tool in order to approximate the solution of the former integral. The decision will be based on the degree of knowledge of function F(x) and some properties of (u). Three methods based in classical methodologies (simulation, product integration and inverting Laplace transform) will be presented and applied to the calculation of ultimate ruin probabilities in the classical case of Risk...

14. Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory - Usábel Rodrigo, Miguel Arturo
The Stehfest-Gaver method of inverting Laplace transforms is a very useful tool in approximating non-ruin probabilities. An accuracy of 6 to 10 significant digits is obtained in every case studied (Tables 1,2 and 3) except for Log-normal claim size and large initial reserves where the accuracy of the "exact" values (using Product integration ) is not guaranteed to be more than 5 digits. The efficiency in terms of computational time is also outstanding because we onIy need to evaluate 20 times the Laplace transform of the c.dJ. of the claim size as shown in (1.6).

15. Una aproximación operativa para la función de supervivencia cuando la siniestralidad sigue la distribución de Pareto - Usábel Rodrigo, Miguel Arturo
Uno de los problemas más frecuentemente abordados por la literatura actuarial es el cálculo de la probabilidad de supervivencia para el horizonte infinito, modelizado mediante una siguiente ecuación de Volterra de segunda clase. Entre los modelos de mayor interés para el actuario aplicados a las cuantías individuales de los siniestros destacan los de funciones de cola larga, debido a dos razones: la capacidad de reflejar siniestralidades catastróficas y, como consecuencia de ésta, la preocupación por controlar una eventual ruina. La solución de la anterior ecuación integral cuando la distribución de la cuantía de un siniestro es un función de cola...

16. Calculating ruin probabilities via product integration - Ramsay, Colin M.; Usábel Rodrigo, Miguel Arturo
When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate roethods are needed. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities because it uses quadrature weights that are suited to the underlying distribution. Tables of ruin probabilities for the Pareto and lognormal distributions are provided.

17. ¿Por qué conservar los ecosistemas acuáticos continentales? - Molina Abril, JA

18. NixNox procedure to build Night Sky Brightness maps from SQM photometers observations - Zamorano Calvo, Jaime; Sánchez de Miguel, Alejandro; Nievas Rosillo, Miguel; Tapia Ayuga, Carlos
The NixNox procedure to build all-sky maps of the nocturnal night sky brightness using SQM photometers is described. Astronomers belonging to amateur associations in Spain are using this observational method to obtain data of their preferred sites of observation to characterize the astronomical quality of the sky and the sources of light pollution.

19. Infraestructuras del transporte terrestre y competitividad - Moreno Moreno, María del Carmen; Pablos Escobar, Laura de
Trabajo de investigación que analiza las mejoras realizadas en las infraestructuras del transporte en España en la década de los 80 a través del gasto público e inversiones y comparándola con Europa para ver nuestro nivel de competitividad.

20. El gasto en defensa en la economía pública - Valiño Castro, Aurelia
Estudio sobre la asignación de los recursos, la distribución de la renta, el crecimiento económico y la estabilización aplicados a la economía de defensa. Así mismo también se estudia el impacto de dichos gastos sobre las variables macroeconómicas, tales como el empleo, la producción o el crecimiento.

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