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International Conference
on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
General and Program Chairs
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Montserrat Guillen, Universitat de Barcelona, Spain
Angel A. Juan, Open University of Catalonia, Spain
Christos Kitsos, Techn. Educational Institution of Athens, Greece
Teresa Oliveira, Universidade Aberta, Portugal
Helena Ramalhinho Lourenço, Universitat Pompeu Fabra, Spain
Isabel Serra, Universitat Autònoma de Barcelona, Spain
Carles Serrat, Technical University of Catalonia, Spain
Local Committee
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Jesica de Armas, Open University of Catalonia, Spain
Laura Calvet, Open University of Catalonia, Spain
Aljoscha Gruler, Open University of Catalonia, Spain
Carlos Quintero, Open University of Catalonia, Spain
Daniela Mazza, University of Bologna, Italy
Adela Pagès Bernaus, Open University of Catalonia, Spain
Amparo Soler Domínguez, Universitat Jaume I, Spain
Negar Zakerinejad, Open University of Catalonia, Spain
Sponsors
Fundación Mapfre
www.fundacionmapfre.org
"la Caixa" Foundation
obrasocial.lacaixa.es
Equifax
http://www.equifax.com
Contents
Schedule Overview (regular sessions at UPF) ............................................. 1
Introduction ............................................................................................... 2
Venues ....................................................................................................... 3
Welcome Session @ CosmoCaixa ............................................................... 5
Keynote Speakers ....................................................................................... 7
Sessions and Titles ................................................................................... 10
Book of Proceedings ................................................................................. 20
Coffee Breaks and Lunches @ UPF ........................................................... 20
Wi-Fi Access ............................................................................................. 20
Special Issues ........................................................................................... 21
Collaborators............................................................................................ 22
International Scientific Committee ........................................................... 23
5.00 PM – 6.30 PM
4.30 PM – 5.00 PM
3.00 PM. - 4.30 PM
1.30 PM – 3.00 PM
12.00 PM – 1.30 PM
11.00 AM – 11.50 AM
10.30 AM-11.00 AM
9.00 AM - 10.30 AM
W1B
Risk
Management
in Engineering
W1A
Financial Risk
W1C
Thresholds
40.209
W4A
Non-life
Insurance
W3A
Reserves and
Credit Risk
W2A
Portfolios &
Financial Time
Series
W4B
Chemical,
Food, and
Health Risks
W3B
Dependent
Risks
W2B
Multivariate
Methods
T2B
Statistical
Distributions
T2C
Statistical
Models for
Risk and
Reliability
T4A
Risk Analysis
T4B
Life
Insurance &
Reinsurance
T3B
Health Risks
T3C
Economic Risks
Lunch - Roger de Llúria building
T2A
Cost &
Economic Risk
40.008
F1C
Biostatistics
1
40.146
F2B
F2C
Risk
Biostatistics
Assesment
2
1.15 PM – 1.30 PM
F Closing Session - Auditorium
F2A
Climate &
Weather
Extremes
F Plenary Session – Auditorium
Prof. Dr. Sebastián Martorell
F1B
Tails
40.012
FRIDAY
MAY 29th @ UPF
T1C
F1A
Climate &
Enterprise
Environmental
Risk
Risk
Management
40.146
T Plenary Session – Auditorium
Prof. Dr. Mei-Ling Tin Lee
Coffee Break - meeting room
W4C
Financial
Mathematics &
Dynamical
Systems
T1B
Extreme
Value
Methods
40.008
THURSDAY
MAY 28th @ UPF
Coffee Break - meeting room
T1A
Longevity
40.004
W3C
T3A
Optimization & Contributions
Risk
to Risk Analysis
(in Spanish)
W2C
Survival Models
W Plenary Session - Auditorium
Prof. Dr. Hansjörg Albrecher
40.146
Room: 40.144
WEDNESDAY
MAY 27th @ UPF
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Schedule Overview (regular sessions at UPF)
1
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Introduction
The ICRA 6 / RISK 2015 conference objective is to assemble researchers
and practitioners from universities, institutions and industries from
around the world, involved in these fields, and to encourage mutual
exchange and collaboration in international research projects.
The conference is organized by five Catalan universities, including: Open
University of Catalonia (UOC), University of Barcelona (UB), Technical
University of Catalonia (UPC), Autonomous University of Barcelona (UAB),
and Pompeu Fabra University (UPF).
The ICRA conference is also organized with the ISI Committee on Risk
Analysis (ISI-CRA) of the International Statistical Institute.
The Committee on Risk Analysis of the International Statistical Institute
(ISI-CRA) is in charge of improving and expanding the role of statistics in
Risk Analysis. It does this by addressing theory and methodology
applications that cover the broad scope of risk assessment & management
in life sciences and public health, sciences of the environment and
behavior, economics and finance, industrial risks, adversarial risks and
issues of societal security. The ISI-CRA is one (out of nine) Special Interest
Groups of the ISI.
RISK is a regular biannual event that was originally launched in 2005 by UB
Risk Center, the University of Barcelona research group on Risk in Finance
and Insurance. The sessions of RISK2015 will include the following topics:
Credit, Market and Operational Risk Management and Measurement,
Economic, Insurance and Financial Analysis for Insurance Companies,
Financial and Banking Crisis, Regulatory Framework: Solvency II and Basel
III, New Developments in Insurance Products, Statistical Methods for
Insurance and Finance, Demography and Life Insurance, Economics of
Insurance and Long Term Care.
2
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Venues
May 26th : CosmoCaixa – Barcelona Science Museum
Isaac Newton, 26 - Barcelona
Buses: 17, 22, 58, 73, 75, 60 and 196
Closest metro station: Avinguda del Tibidabo
3
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
May 27th-29th : Pompeu Fabra University – Ciutadella Campus
Ramon Trias Fargas, 25
Metro Line 4 Ciutadella–Vila Olimpica
Tram line T4, T5 Wellington and Ciutadella-Vila Olimpica
Buses: 41, H16, and V21
4
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Welcome Session @ CosmoCaixa
TUESDAY - MAY 26th @ COSMOCAIXA
4:30 p.m. - 5:30 p.m.
Registration opens at floor -1 of the CosmoCaixa Science Museum
Free access to the
museum
5:30 p.m. -6:30 p.m.
Official welcome & musical performance at the Auditorium
Speakers:
Ignasi López - Fundació Bancària ”la Caixa”
Teresa Oliveira - ICRA Executive Committee
Marta Aymerich - Open University of Catalonia
Àngel Lozano - Pompeu Fabra University
Miquel Soriano - Technical University of Catalonia
Maria Pilar Dellunde - Autonomous University of Barcelona
Jordi Alberch - University of Barcelona
-
6:30 p.m. -8 p.m.
Social event with food and drinks at the Science Plaza
Catering delivered by:
www.ehcastelldefels.com
5
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Musical Performance
Karol Green - voice and loop station
If there are no instruments accompanying her singing, Karol
Green creates music with her body. And then when there are
instruments she quickly gathers rhythm and bursts into musical
rhapsody. In fact, Karol is so open with music, melody and all
other things connected to it, it seems like a whole new musical
world opening up and engulfing the onlooker. Of South African
origin and now living near Barcelona, Karol admits she initially
never had any formal training. Her school has been the large
number of musical projects during her fourteen years in
Barcelona, and which she continues to be passionately involved
with. Several projects and trends include body percussion, neosoul, world music, gospel, ska and African music. She has also established herself as a choir
leader in Catalonia, presently conducting Soulchoir, Gospelians de Girona and Cor Gospel
Gracia, the last two choirs being well known for their participation in the TV3 contest 'Oh
Happy Day'. More info: www.facebook.com/karolgreenmusic
Adri González - keyboard
If there is one pianist accompanying Karol, it must be Adri. They have worked together in
numerous musical projects for the past eight years. Adri is a graduate in keyboard playing from
the prestigious Catalan Music University (ESMUC) and has a professional degree in classical
piano from the Barcelona Municipal Conservatory. He has collaborated with many different
artists, moving effortlessly between different musical genres such as pop, jazz, gospel and
classical. Born and living in Barcelona, intensely involved with music, he has also worked in
music production for various bands and publishers, and has recorded with many musicians at a
national level.
Program:
1. ICRA time
Original song Summertime by George Gershwin, adapted by Michael Greenacre for ICRA.
2. Taking a Chance
Jazz standard adapted by Michael Greenacre, especially for ICRA.
3. Little Fish of the Sea
Karol's version of the Brazilian traditional song Peixinhos do Mar, in her unique body
percussion and loopstation style.
6
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Keynote Speakers
Prof. Dr. Hansjörg Albrecher
Prof. Dr. Hansjörg Albrecher is Professor of
Actuarial Science at the University of Lausanne
and has been an SFI faculty member since
December 2010. Prof. Albrecher is a regular
speaker at leading conferences on insurance.
He has published extensively and also serves
on the editorial board of the top academic
journals in his areas of research expertise.
His research focuses on quantitative aspects of
insurance and risk management.
Among his recent studies, Prof. Albrecher and his co-authors apply a
game-theory approach to study competition among non-life insurers. They
expand the existing literature by considering a lapse model together with
an aggregate loss model for policyholders and a solvency constraint for
insurers. Using different equilibrium concepts, including aspects of market
leadership, the impact of competition on optimal premium levels is
investigated and illustrated by numerical illustrations of the game. The
researchers show that market competition leads to a significant deviation
of premium levels from equilibria for purely actuarial premiums.
7
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Prof. Dr. Mei-Ling Tin Lee
Dr. Mei-Ling Ting Lee is Professor in the
Department of Epidemiology and Biostatistics
and Director of the Biostatistics and Risk
Assessment Center (BRAC) at the University of
Maryland, College Park. Dr. Lee has a broad
background on statistical and applied
probability
applications
in
cancer,
epidemiology, the environment, and other
medical areas. She has many years of
experience in analyzing large scale high-dimensional data sets drawn from
genomics and proteomics.
Dr. Lee's current research is focused in the following areas: (a) Threshold
Regression Models for Risk Assessments: with Applications in Cancer,
Environmental Research and Occupational Exposure; (b) Statistical
Methods for Genomic and Proteomic Data; (c) Rank-based Nonparametric
Tests for Correlated Data: with Applications in Epidemiology and
Genomics; (d) Statistical Applications in Microbiology and
Pharmacokinetics;(e) Multivariate Distributional Theory and Applications.
Dr. Lee has published a single-authored monograph titled "Analysis of
Microarray Gene Expression Data" in 2004 which has been widely used as
a reference/textbook. The book includes several chapters on machine
learning bioinformatics methods. Dr. Lee also co-edited three other books.
Dr. Lee is the founding editor and editor-in-chief of the international
journal Lifetime Data Analysis, the only international statistical journal
that is specialized in modeling time-to-event data. The journal is currently
publishing the twentieth's volume. Dr. Lee is the Editor of Springer's new
book series on "Risk Analysis".
8
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Prof. Dr. Sebastián Martorell
Prof. Dr. Sebastián Martorell is Full Professor of
Nuclear Engineering, Director of the Radiation
Service and Ex-Director of the Chemical and
Nuclear Department at the Universidad
Politécnica de Valencia, Spain. Dr. Martorell
received his Ph.D. in Nuclear Engineering from
Universidad Politécnica de Valencia in 1991.
His research areas are probabilistic safety
analysis, uncertainties, risk-informed decision
making, and RAMS plus cost modelling and
optimization using genetic algorithms. In the
past 22 years that he has been with the Polytechnic University of Valencia,
he has served as consultant to governmental national and international
agencies, nuclear facilities and private organizations in areas related to
risk and safety analysis, especially applications to safety system design and
testing and maintenance optimization of nuclear power plants . In this
period, Dr. Martorell has taken part as Main Researcher in 64 national and
international research projects and contracts. Dr. Martorell has over 300
papers in journals and proceedings of conferences in various areas of
reliability, maintainability, availability, safety and risk engineering.
He is a University Polytechnic of Valencia Teacher in the area of
probabilistic risk analysis and RAMS for nuclear and chemical facilities. Dr.
Martorell is calendar editor and a member of the Editorial Board of
Reliability Engineering and System Safety International Journal. He is also
an editorial board member of the Journal of Risk and Reliability.
Proceedings of Institution of Mechanical Engineers, Part O. He has been
Vice-Chairman of European Safety and Reliability Association (ESRA). He
has been a member of Technical Committees of the European Safety and
Reliability Conferences (ESREL) for more than 15 years and Chairman of
ESREL 2008.
9
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Sessions and Titles
WEDNESDAY - MAY 27th @ UPF
Speaker
Authors & Title
W1A Financial Risk - Room 40.144
Elena Di Bernardino, Jose Maria Fernandez-Ponce, Fatima Palacios
Fatima Palacios
Rodriguez and Maria Del Rosario Rodriguez- Griñolo. Measuring
the systemic risk by multivariate indicators
Pilar Abad
Pilar Abad and Helena Chulia. European financial integration in
times of crisis
Klára Plecitá and Ladislava Issever Grochová. Behavioral
Equilibrium Exchange Rates: Re-estimation for the Euro Area
Countries
Zbigniew Krysiak and Urszula Krysiak. Modeling the Enterprise
Zbigniew Krysiak
Cost of Capital with the Monte Carlo Simulation
W1B Risk Management in Engineering - Room 40.146
Leo Pui Yong
Pui Yong Leo. Effective Risk Assessment Review - Power Utilities
9 a.m. - 10:30 a.m.
Klára Plecitá
Wenhua Li
Wenhua Li and Tsuyoshi Adachi. Silver Supply Risk Assessment For
Sustainable Photovoltaic Installation
Adela Pagès Bernaus, Angel A. Juan and Helena Ramalhinho.
Helena Ramalhinho Considering Risk Issues in the Uncapacitated Facility Location
Problem with Stochastic Components
Ernesto Gutierrez-Miravete. Determination of the Optimal
Ernesto Gutierrez Replacement Age for a Preventive Maintenance Problem
involving a Weibull Failure Probability Distribution Function
11 a.m. - 11:50 a.m.
W1C Thresholds - Room 40.209
Natalia Markovich. Hitting times of threshold exceedances and
Natalia Markovich
their distributions
Chrys Caroni, Sonia Malefaki and Polychronis Economou. First
Chrys Caroni
hitting time regression for recurrent events with random effects
Álvaro Corral and Isabel Serra. Performance of the Clauset-ShaliziNewman method for power-law fitting and comparison with
Álvaro Corral
other methods
W Plenary Session - Auditorium
On Risk Modelling in Insurance
Prof. Dr. Hansjörg Albrecher
Full Professor, Department of Actuarial Science
Université de Lausanne
10
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
W2A Portfolios & Financial Time Series - Room 40.144
Angel Juan
Ana Debón
Pol Ferrando
Catalina Garcia
Renatas Kizys, Angel Juan, Bartosz Sawik and Angel Linares. Solving
the Portfolio Optimization Problem under realistic constraints
Ana Debón, Juan Carlos Cortes, Oscar Monzó-Chafer and Fabian
Rodriguez-Santos. Modeling the IBEX-35 Index Using a Compound
Poisson Stochastic Process
Pol Ferrando and Josep Fortiana. Financial time series obtained by
agent-based simulation
Francisco Aranda, Catalina Garcia and Jose Maria Perez Sanchez.
Alternative bounded distributions to model Chinese financial
returns
12 p.m. - 1:30 p.m.
W2B Multivariate Methods - Room 40.146
Elena di Bernardino
Lorena Remuzgo
Elena Di Bernardino and Didier Rullière. Estimation of multivariate
critical layers: Applications to rainfall data
Lorena Remuzgo, José María Sarabia and Carmen Trueba. Capital
allocation under dependent risks: an application to GHG
emissions
Liubov Markovich
Liubov Markovich. Multivariate density and derivative gamma
kernel estimation by dependent data
Julio Mulero
Antonio Arriaza-Gómez, Félix Belzunce, Julio Mulero and Alfonso
Suárez-Llorens. On a New Multivariate IFR Notion for Random
Vectors Based on the Standard Construction
W2C Survival Models - Room 40.209
Yin Quing Chen
Cheng Zheng and Ying Qing Chen. On a Shape-Invariant Hazard
Regression Model
Alan Kimber
Alan Kimber, Stefanie Biedermann and Natalie Staplin. Sensitivity
analyses in survival analysis with dependent censoring
Xavier Piulachs and Ramon Alemany. Joint modeling scheme by
weighting cumulative effects over time. Research on mortality for
insured elderly
Xavier Piulachs
Catherine Huber
Catherine Huber. Survival and quality of life
11
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
W3A Reserves and Credit Risk - Room 40.144
Ole Bergfjord
Ole Bergfjord. Analyzing and managing political risk
Eva Boj
Eva Boj and Mª Teresa Costa. Claim Reserving: Calendar Year
Reserves for the GLM
Miklós Arató
Miklós Arató and László Martinek. Comparison of Reserving and
Spatial Models in Insurance
3 p.m. - 4:30 p.m.
W3B Dependent Risks - Room 40.146
Luís Bermúdez
Lluís Bermúdez, Montserrat Guillén and Dimitris Karlis. A bivariate
INAR(1) model for insurance claim counts
José María Sarabia
José María Sarabia, Faustino Prieto and Vanesa Jordá. Risk
Aggregation in a Class of Dependent Heavy-tailed Distributions
Barry Arnold
Barry C. Arnold and Indranil Ghosh. Modeling Bivariate
Kumaraswamy Dependent Risks
Miguel A. Sordo
Miguel A. Sordo. On multivariate extensions of the increasing
convex order to compare risks
W3C Optimization & Risk - Room 40.209
Aaron Mengelkamp
Aaron Mengelkamp, Sebastian Hobert and Matthias Schumann.
Interpreting Textual User Generated Content for Supplier-Credit
Risk Analysis
Laura Calvet
Laura Calvet, Angel A. Juan and Nina Schefers. Solving the MultiDepot Vehicle Routing Problem considering Uncertainty and Risk
factors
Carlos Quintero
Carlos Quintero-Araujo and Angel Juan. Solving the Integrated
Location Routing Problem considering Uncertainty and Risk
factors
Antonio Heras
José L. Vilar, Eduardo Vilar and Antonio Heras. Application of
Stochastic Modeling to online product returns risk analysis
12
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
W4A Non-life Insurance - Room 40.144
Ana Maria PerezMarin
Mercedes Ayuso and Ana Maria Perez-Marin. Gender Differences
in the Effect of Driving Paterns on the Risk of Accident in PAYD
Insurance
José María Pérez
José María Pérez Sánchez and Emilio Gómez Déniz. The effect of
zero inflation in claims insurance through a Bayesian model
Hansjoerg Albrecher and Dalit Daily-Amir. On Competitive NonLife Insurance Pricing under Incomplete Information
Dalit Daily
5 p.m. - 6:30 p.m.
W4B Chemical, Food, and Health Risks - Room 40.146
Myung-Sil Hwang
Jin-Hyang Suh, Myung-Sil Hwang and In Gyun Hwang. An
Introduction to the Safety Evaluation of Ingredients in Household
Chemical Products
Antti Mikkelä
Antti Mikkelä, Jukka Ranta, Manuel González, Marjaana Hakkinen
and Pirkko Tuominen. Bayesian prevalence-concentration model
for the Campylobacter based on retail data
Tsuyoshi Nakamura
Tomomi Yamada, Koshi Kataoka, Todd Saunders, Koichiro Sera,
Toshihiro Takatsuji, Tsuyoshi Nakamura and Yoshiaki Nose.
Decomposition of Hair Mineral Variations into Intra-individual,
Inter-individual and Physical Variations
W4C Financial Mathematics & Dynamical Systems - Room 40.209
Maria Belda
Albert Ferreiro
Ramon Herrero
Susana Alvarez-Diez, J. Samuel Baixauli-Soler and Maria BeldaRuiz. Risk Incentives of Performance-Vested Stock Options: The
Early Exercise Effect
Albert Ferreiro-Castilla. Euler-Poisson schemes for Lévy processes
Ramon Herrero, Gaspar Orriols and Francesc Pi. Oscillatory
modes organization in complex temporal behaviors
13
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
THURSDAY - MAY 28th @ UPF
Speaker
T1A Longevity - Room 40.004
Authors & Title
Jorge Uribe
Helena Chuliá, Montserrat Guillén and Jorge Uribe. Modeling
longevity risk with generalized dynamic factor models and vinecopulas
Funda Kul
Funda Kul. Mortality Improvement Rate Modeling By Principal
Component Analysis
Arelly Ornelas
Arelly Ornelas and Catalina Bolancé. Alternative methods of
estimating the longevity risk
Patricia Carracedo, Ana Maria Debon and Steve Haberman.
Modeling Trends and inequality of longevity in the European
Union Countries
Patricia Carracedo
9 a.m. - 10:30 a.m.
T1B Extreme Value Methods - Room 40.008
Josep Freixas
Josep Freixas and Montserrat Pons. Components with higher and
lower risk in a reliability system
Maria Padilla
Maria Padilla, Jaume Abella, Joan Del Castillo and Francisco J.
Cazorla. Extreme value theory in computer sciences: The case of
embedded safety-critical systems
Paul Rochet
Alejandra Cabaña
Paul Rochet and Isabel Serra. A test on separate families of
hypotheses: distinguish between uniform and exponential
distributions
Alejandra Cabaña and Isabel Serra. An approach to solve the
weakness of block maxima method
T1C Climate & Environmental Risk - Room 40.146
David Hampel
David Hampel, Jitka Janova and Jiri Kadlec. On the stability of the
reforestation optimal control model assumption
Stefan Giebel
Giebel Stefan and Martin Rainer. Predicting wind speeds for
energy risk: Weibull distribution and neural network methods
as alternative and complementary strategies
Pawel Bartoszczuk
Pawel Bartoszczuk. Risk in ecoinnovation introduction at
enterprises
Sebastián Torres
Stéphane Girard, Andrés Rivera, Milan Stehlík and Sebastián
Torres. Extreme value modelling of some glacial processes in
Chilean Andes
14
11 a.m. - 11:50 a.m.
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
T Plenary Session - Auditorium
Risk Analysis Using Threshold Regression
Prof. Dr. Mei-Ling Tin Lee
Full Professor, Biostatistics & Risk Assessment Center
University of Maryland
T2A Cost & Economic Risk - Room 40.004
Federico Platania
Federico Platania, Marie Lambert and Manuel Moreno. Real
options valuation under uncertainty
Joanna Rodriguez
Joanna Rodriguez, Rosa Lillo and Pepa Ramírez-Cobo. Modeling
electrical component failures using non-stationary Markovian
arrival processes
Abderrahmane Sokri
Abderrahmane Sokri and Ahmed Ghanmi. Cost Risk Analysis
Methods for Defence Acquisition Projects
Víctor Jiménez
Victor Jiménez and Paulo Afonso. Measuring risk in costing
systems using costing at risk (CaR)
12 p.m. - 1:30 p.m.
T2B Statistical Distributions - Room 40.008
Pavlina Jordanova
Pavlina Jordanova, Yulia Nefedova and Milan Stehlik. On risk
process with Pareto mixing
Victoriano García
Emilio Gómez-Déniz, Francisco-José Vázquez-Polo, Victoriano
García and Enrique Calderín-Ojeda. The Exponential-Reciprocal
Generalized Inverse Gaussian Distribution. A New Model to
Describe Loss Distributions
Lubos Strelec
Jerzy Filus
Luboš Strelec. Notes on robust testing for normality in insurance
science
Jerzy Filus. On some generalizations of the univariate normal
density
T2C Statistical Models for Risk and Reliability - Room 40.146
Inmaculada Barranco Inmaculada Barranco-Chamorro. Some Parametric Tests in
Partially-Non-Regular Log-Exponential Models
Chrys Caroni, Dionysia Panagoulia and Polychronis Economou. NonChrys Caroni
stationary modelling of extremes of precipitation and
temperature over mountainous areas under climate change
Nuria Torrado and Rosa E. Lillo. Stochastic bounds for times
Nuria Torrado
elapsed between successive failures of components in reliability
systems
Francesca Pierri, Elena Stanghellini and Nicolò Bistoni. Forecasting
Francesca Pierri
probability of bankruptcy from unbalanced data
15
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
3 p.m. - 4:30 p.m.
T3A Contributions to Risk Analysis (in Spanish) - Room 40.004
Antonio José Sáez
Antonio José Sáez-Castillo, José María Sarabia and Faustino Prieto.
La distribución Pareto Positive Stable, un modelo estocástico para
eventos extremos
Manuela Alcañiz
Manuela Alcañiz, Miguel Santolino and Lluís Ramon. El perfil del
conductor en estado de alcoholemia: diferencias entre carretera y
zona urbana
Eudald Boira
Eudald Boira, Mª Àngels Pons and F. Javier Sarrasí. Influencia del
reaseguro y de la estructura del colectivo en la solevencia de una
cartera de vida
Salvador Linares
Salvador Linares-Mustarós, José María Merigó-Lindahl and Anna
Maria Gil-Lafuente. Nueva propuesta de ordenación de compañías
aseguradoras
Sergio Baena
Sergio Baena Mirabete and Pere Puig. A model for rating
transitions over time
T3B Health Risks - Room 40.008
Moisés Gómez
John Houston
David Moriña
Lucía Tarro
Moisés Gómez Mateu and Guadalupe Gómez Melis. Extensions
and applications of CompARE: web platform to select the primary
endpoint in a randomized clinical trial
John Houston and Madhu Acharyya. Fighting the Ebola Virus – an
exercise of risk analysis and optimal decision making
David Moriña Soler, James Grellier, Adela Carnicer, Eileen Pernot
and Elisabeth Cardis. Estimating cumulated absorbed doses and
associated health risks due to occupational exposure to ionising
radiation
Lucía Tarro, Elisabet Llauradó Ribé, Magaly Aceves Martins, David
Moriña, Montse Giralt Batista and Rosa Solà Alberich. Childhood
obesity as cardiovascular disease risk predictor
T3C Economic Risks - Room 40.146
Yulia Sleptsova
Ladislava Issever
Joaquim Gabarro
Raúl Torres
Yulia Sleptsova and Roman Kachalov. The economic systems theory
as base for structuring space of risk factors
Ladislava Issever Grochová. Poverty as a risk factor for sustainable
development
Joaquim Gabarro and Maria Serna. Uncertainty Analysis in the ISLM Model
Raúl Andrés Torres Díaz, Rosa E. Lillo and Henry Laniado.
Multivariate Risk Measures: A Directional Approach for Value at
Risk
16
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
5 p.m. - 6:30 p.m.
T4A Risk Analysis - Room 40.004
Serguei Novak
S. Novak. On measures of financial risk
Jaume Belles
Jaume Belles-Sampera. Risk behavior behind distortion risk
measures
M. Mercè Claramunt.
Anna Castañer, M. Mercè Claramunt and Maite Mármol. A
numerical analysis of risk measures under proportional
reinsurance
Jalila Daoudi
Jalila Daoudi and Rosa Lillo. DPLN: data analysis in finance and
insurance
T4B Life Insurance & Reinsurance - Room 40.008
Jorge de AndresSanchez
Jorge de Andres-Sanchez and Laura Gonzalez-Vila Puchades.
Pricing life insurance with triangular interest rates and fuzzy
random variables: Some analytical results for mixed endowments
Estefanía Alaminos
Estefanía Alaminos and Mercedes Ayuso. An Actuarial Estimation
of the Individual Cost of Retirement and Widowhood Pension: An
Application to the Spanish Case
Soren Kaergaard
Søren Kærgaard Slipsager and Peter Løchte Jørgensen. An Analysis
of a 3-Factor Model proposed by the Danish Society of Actuaries
for Forecasting and Risk Analysis
Lidia Filus
Jerzy Filus and Lidia Filus. Construction of Conditional Probability
Densities as Enforced Regression
17
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
FRIDAY - MAY 29th @ UPF
Speaker
Authors & Title
F1A Enterprise Risk Management - Room 40.008
Christina Haidau
Ruchi Agarwal
Miguel Santolino
9 a.m. - 10:30 a.m.
Manuel Terradez
Cristina Haidau. The Claims of Analytics and the Analytics of
Claims
Ruchi Agarwal and Jake Ansell. Enterprise Risk Management vs
Antifragility: An attempt to explore best practices in corporate
world
Lluís Bermúdez, Dimitris Karlis and Miguel Santolino. A finite
mixture of multiple Poisson distributions for modelling days of
absence from work due to motor accident
Manuel Terradez, Ana Debon and Angel Juan. Validation of Risk
Scoring Models for Trade Credit in Small and Medium Enterprises
F1B Tails - Room 40.012
Isabel Serra
Isabel Serra and Álvaro Corral. Statistical tests for the tail of the
seismic-moment distribution of global shallow earthquakes
Joan del Castillo
Joan Del Castillo. When the tails are really heavy?
Marijus Vaiciulis
Marijus Vaiciulis. Local maximum based tail index estimator
Vygantas Paulauskas
Vygantas Paulauskas and Marijus Vaiciulis.
generalizations of classical tail index estimators
On
several
F1C Biostatistics 1 - Room 40.146
Carles Serrat, Montserrat Rué, Carmen Armero, Xavier Piulachs,
Hèctor Perpiñán, Anabel Forte, Álvaro Páez and Guadalupe Gómez.
Carles Serrat
A Shared-Parameter Joint Model for Prostate Cancer Risk and PSA
Longitudinal Profiles
Stefan Giebel / Milan Giebel Stefan, Philipp Hermann, Milan Stehlik and Jens-Peter
Stehlik
Schenk. Dynamic Shape Analysis - before and after chemotherapy
Emma Turian
Emma Turian and Shuwang Li. Stability analysis of a tumor's
interface using the elastic energy
18
11 a.m. - 11:50 a.m.
International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
F Plenary Session - Auditorium
Reliability and Risk Informed Decision-making
in Engineering
Prof. Dr. Sebastián Martorell
Full Professor, Department of Chemical and Nuclear Engineering
Universidad Politécnica de Valencia
F2A Climate & Weather Extremes - Room 40.008
Manuela Neves
Delioma Oramas
12 p.m. - 1:10 p.m.
Guillermo Franco
Manuela Neves, Helena Penalva and Sandra Nunes. Extreme value
analysis of river levels in a hydrometric station in the North of
Portugal
Delioma Oramas Dorta. An approach for Risk estimation in
territories/perils un-modelled by the Insurance Industry
Madeleine Lopeman, George Deodatis and Guillermo Franco. Storm
surge hazard estimation on the United States' Atlantic coast using
the clustered separated peaks-over-threshold simulation (CSPS)
method
F2B Risk Assessment - Room 40.012
Wolfgang Bischoff
Wolfgang Bischoff. Checking for Linear Regression when Data are
Sampled by a Moving Window
Teresa Oliveira
Teresa Oliveira, Conceição Leal and Amílcar Oliveira. Stochastic
Response Surface Methodology: a tool to risk assessment
Francisco Carla
Carla Francisco and Teresa Oliveira. Risk of Data Loss on QR Codes:
Hadamard Matrices and links to Block Designs
F2C Biostatistics 2 - Room 40.146
Victor Casero
Victor Casero-Alonso and Jesus Lopez-Fidalgo. Optimal designs
subject to cost constraints in simultaneous equations models
Aintzane Ayestaran
Guadalupe Gomez Melis and Aintzane Ayestaran. Selection of the
primary endpoint in a clinical trial: composite binary endpoints
versus single outcomes
1:15 p.m. - 1:30
p.m.
Milan Stehlik
Milan Stehlik. Fractal based cancer modelling
F Closing Session by ICRA and Organizing Committee - Auditorium
Speakers
María José Albert Pérez - Relaciones Institucionales, Fundación Mapfre
Teresa Oliveira - On behalf of the ICRA Executive Board
Helena R. Lourenço - On behalf of the Organizing Committee
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International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Book of Proceedings
The Book of Proceedings is published by Fundación Mapfre (series
"Cuadernos de la Fundación", no. 205). A PDF version will be soon
available at:
http://www.fundacionmapfre.org/fundacion/en/insurance-socialsecurity/publications/notebooks-foundation/recent-notebooks/default.jsp
The Conference program is also available at:
http://www.uoc.edu/portal/en/symposia/icra6/programandkeynotespeak
ers/index.html
Coffee Breaks and Lunches @ UPF
For the regular sessions at the Pompeu Fabra University (May 27 – 29):
 Coffee breaks are scheduled at 10.30 and 16.30 at the
meeting/registration room (in front of the Auditorium).
 Tickets for lunches at the restaurant of Roger de Llúria building are
provided in the bags. They are scheduled from 13.30 to 15.00.
Wi-Fi Access
At CosmoCaixa: open network: wifi_cosmocaixa_bcn
At the Pompeu Fabra University:
Network: event
Password: pompeu0514
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International Conference on Risk Analysis
ICRA 6 / RISK 2015
Barcelona, May 26 - 29, 2015
Special Issues
Authors of accepted papers will be invited to submit extended versions to
specials issues of the following ISI and Scopus-indexed international
journals (more info will be published soon at the conference website):
RevStat (http://www.ine.pt/revstat/inicio.html)
IJDATS (http://www.inderscience.com/jhome.php?jcode=ijdats)
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International Conference on Risk Analysis
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Barcelona, May 26 - 29, 2015
Collaborators
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International Scientific Committee
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Pilar Abad Romero, Universidad Rey Juan Carlos, Spain
Mercedes Ayuso Gutiérrez, Universidad de Barcelona, Spain
Alejandro Balbás de la Corte, Universidad Carlos III de Madrid, Spain
David Banks, Duke University, USA
Inmaculada Barranco-Chamorro, Universidad de Sevilla, Spain
Catalina Bolancé, Universidad de Barcelona, Spain
Christian Brownlees, Universitat Pompeu Fabra, Spain
Alejandra Cabaña, Universitat Autonoma de Barcelona, Spain
Chrys Caroni, National Technical University of Athens, Greece
Jalila Daoudi, Unversitat Pompeu Fabra, Spain
Ana Debon, Universitat Politecnica de Valencia, Spain
José M. Feria Domínguez, Universidad Pablo de Olavide, Spain
Jerzy Filus, Oakton Community College, USA
Lidia Filus, Northeastern Illinois University, USA
Ilia Frenkel, Ben-Gurion University of the Negev, Israel
Anna Gordon, Mindjet Inc., USA
Luís Grilo, Instituto Politécnico de Tomar, Portugal
Sneh Gulati Gulati, Florida International University, USA
Emilio Gómez Déniz, Univ. de Las Palmas de Gran Canaria, Spain
George Halkos, University of Thessaly, Greece
Antonio J. Heras Martínez, Univ. Complutense de Madrid, Spain
Luisa Huaccho, University of Leeds, UK
Catherine Huber, Universite Paris Descartes, France
Maria Ivette Gomes, Fac. de Ciências da Univ. de Lisboa, Portugal
Enrique J. Jiménez Rodríguez, Universidad Pablo de Olavide, Spain
Alex Karagrigoriou, University of the Aegean, Cyprus
Renatas Kizys, University of Portsmouth, UK
Andrei Korobeinikov, CRM, Spain
Victor Leiva, Universidade Adolfo Ibánez, Chile
Roberval Lima, Embrapa Brasil e Univ. Federal do Amazonas, Brasil
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International Conference on Risk Analysis
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Nikolaos Limnios, University of Technology of Compiègne, France
Mei Ling Ting Lee, University of Maryland, USA
Edwirde Luiz Silva, Universidade Estadual de Paraíba, Brasil
Maria Manuela Neves, Universidade Técnica de Lisboa, Portugal
Sebastian Martorell, Universitat Politecnica de Valencia, Spain
David Moriña Soler, Centre for Res. in Environm. Epidemiol., Spain
Tim Myers, CRM, Spain
Tsuyoshi Nakamura, Chuo University, Japan
Vicente Núñez-Antón, Universidad del Pais Vasco, Spain
Amílcar Oliveira, Universidade Aberta, Portugal
Lluis Ortiz, CRM, Spain
Dinis Pestana, Faculdade de Ciências da Univ. de Lisboa, Portugal
Paul Rochet, Université de Nantes, France
Juan Manuel Rodríguez Poo, Universidad de Cantabria, Spain
José María Sarabia Alegría, Universidad de Cantabria, Spain
Bartosz Sawik, AGH University of Science and Technology, Poland
Tadeusz Sawik, AGH University of Science and Technology, Poland
Miguel Angel Sordo Díaz, Universidad de Cádiz, Spain
Milan Stehlik, Johannes Kepler University, Austria
José Luis Vilar Zanón, Universidad Complutense de Madrid, Spain
Francisco José Vázquez Polo, Univ. de Las Palmas de GC, Spain
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International Conference on Risk Analysis
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Barcelona, May 26 - 29, 2015
http://www.uoc.edu/portal/en/symposia/icra6/Home/