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Maria de Lourdes Centeno

Personal Details

First Name:Maria de Lourdes
Middle Name:
Last Name:Centeno
Suffix:
RePEc Short-ID:pce33
https://aquila.iseg.utl.pt/aquila/homepage/f119

Affiliation

Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE)
Research in Economics and Mathematics (REM)
Instituto Superior de Economia e Gestão (ISEG)
Universidade de Lisboa

Lisboa, Portugal
http://cemapre.iseg.ulisboa.pt/

: 21-3925876
21-3922882
na Rua do Quelha 6, 1200-781 Lisboa
RePEc:edi:cmutlpt (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Andrade e Silva, J. M. & Centeno, M. de Lourdes, 2017. "Ratemaking Of Dependent Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 47(03), pages 875-894, September.
  2. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
  3. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.
  4. Guerra, Manuel & de Lourdes Centeno, Maria, 2008. "Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 529-539, April.
  5. de Lourdes Centeno, Maria, 2005. "Dependent risks and excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 229-238, October.
  6. João Manuel Andrade e Silva & Maria de Lourdes Centeno, 2005. "A Note on Bonus Scales," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(4), pages 601-607.
  7. Centeno, Maria de Lourdes & Simoes, Onofre & Silva, Joao Andrade e & dos Reis, Alfredo Egidio, 2003. "Preface," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 209-209, October.
  8. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria de Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714.
  9. Centeno, Maria de Lourdes, 2002. "Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 37-49, February.
  10. Centeno, Maria de Lourdes, 2002. "Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 415-427, December.
  11. de Lourdes Centeno, Maria & Manuel Andrade e Silva, Joao, 2001. "Bonus systems in an open portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 341-350, June.
  12. Centeno, Lourdes, 1989. "The Buhlmann--Straub Model with the premium calculated according to the variance principle," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 3-10, March.
  13. Centeno, Lourdes, 1986. "Measuring the effects of reinsurance by the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 169-182, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.

    Cited by:

    1. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.

  2. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.

    Cited by:

    1. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    2. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    3. Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A., 2012. "Comparison of increasing directionally convex transformations of random vectors with a common copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 385-390.
    4. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.

  3. Guerra, Manuel & de Lourdes Centeno, Maria, 2008. "Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 529-539, April.

    Cited by:

    1. Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie, 2016. "Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 92-100.
    2. Begoña Fernández & Daniel Hernández-Hernández & Ana Meda & Patricia Saavedra, 2008. "An optimal investment strategy with maximal risk aversion and its ruin probability," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 159-179, August.
    3. Asimit, Alexandru V. & Badescu, Alexandru M. & Haberman, Steven & Kim, Eun-Seok, 2016. "Efficient risk allocation within a non-life insurance group under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 69-76.
    4. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    5. Hu, Xiang & Duan, Baige & Zhang, Lianzeng, 2017. "De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 48-55.
    6. Dimitrova, Dimitrina S. & Kaishev, Vladimir K., 2010. "Optimal joint survival reinsurance: An efficient frontier approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 27-35, August.
    7. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
    8. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    9. Lu, ZhiYi & Liu, LePing & Meng, ShengWang, 2013. "Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 46-51.
    10. Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A., 2012. "Comparison of increasing directionally convex transformations of random vectors with a common copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 385-390.
    11. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "The optimal insurance under disappointment theories," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 77-90.
    12. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.
    13. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
    14. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.
    15. Badaoui, Mohamed & Fernández, Begoña, 2013. "An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 1-13.

  4. de Lourdes Centeno, Maria, 2005. "Dependent risks and excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 229-238, October.

    Cited by:

    1. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    2. Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016. "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, vol. 59(C), pages 182-195.
    3. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    4. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1), pages 211-218.
    5. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    6. Bermúdez i Morata, Lluís, 2009. "A priori ratemaking using bivariate Poisson regression models," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 135-141, February.
    7. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013. "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 664-670.
    8. Lluis Bermúdez i Morata, 2008. "A priori ratemaking using bivariate poisson regression models," Working Papers XREAP2008-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
    9. Bi, Junna & Liang, Zhibin & Xu, Fangjun, 2016. "Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 245-258.
    10. Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Papers 1707.05061, arXiv.org.
    11. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB Economics Working Papers 2014/310, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
    12. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    13. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Working Papers hal-01561987, HAL.
    14. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
    15. Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca, 2010. "On a multivariate Pareto distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 308-316, April.

  5. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria de Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714.

    Cited by:

    1. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    2. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-21, January.
    3. de Alba, Enrique & Nieto-Barajas, Luis E., 2008. "Claims reserving: A correlated Bayesian model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 368-376, December.
    4. Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko, 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Papers 1004.2548, arXiv.org.
    5. Apaydin, Aysen & Baser, Furkan, 2010. "Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 113-122, October.
    6. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 85-98, January.
    7. Andreas Frohlich & Annegret Weng, 2016. "Parameter uncertainty and reserve risk under Solvency II," Papers 1612.03066, arXiv.org, revised Apr 2017.
    8. Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V., 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 36-51, August.
    9. Álvarez-Jareño, José Antonio & Coll-Serrano, Vicente, 2012. "Estimación de reservas en una compañía aseguradora. Una aplicación en Excel del método Chain-Ladder y Bootstrap || Estimating the Reserves in Insurance Companies: An Excel Application of the Chain-Lad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 14(1), pages 124-136, December.

  6. Centeno, Maria de Lourdes, 2002. "Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 37-49, February.

    Cited by:

    1. Hu, Xiang & Duan, Baige & Zhang, Lianzeng, 2017. "De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 48-55.
    2. Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio, 2009. "A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 59-64, August.
    3. Verlaak, Robert & Beirlant, Jan, 2003. "Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 381-403, October.
    4. Dutang, Christophe & Goulet, Vincent & Pigeon, Mathieu, 2008. "actuar: An R Package for Actuarial Science," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 25(i07).
    5. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB Economics Working Papers 2014/310, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
    6. Centeno, Maria de Lourdes, 2002. "Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 415-427, December.
    7. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
    8. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.

  7. Centeno, Maria de Lourdes, 2002. "Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 415-427, December.

    Cited by:

    1. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    2. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
    3. Gajek, Lesław & Rudź, Marcin, 2017. "A generalization of Gerber’s inequality for ruin probabilities in risk-switching models," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 236-240.

  8. de Lourdes Centeno, Maria & Manuel Andrade e Silva, Joao, 2001. "Bonus systems in an open portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 341-350, June.

    Cited by:

    1. Jean Pinquet & Montserrat Guillén & Michel Denuit & Natacha Brouhns, 2003. "Bonus-Malus scales in segmented tariffs with stochastic migration between segments," Post-Print hal-00397084, HAL.
    2. Mahmoudvand Rahim & Tan Chong It & Abbasi Narges, 2017. "Adjusting the Premium Relativities in a Bonus-Malus System: An Integrated Approach Using the First Claim Time and the Number of Claims," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 11(2), pages 1-19, July.

  9. Centeno, Lourdes, 1989. "The Buhlmann--Straub Model with the premium calculated according to the variance principle," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 3-10, March.

    Cited by:

    1. Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016. "A Credibility Approach of the Makeham Mortality Law," Post-Print hal-01232683, HAL.

  10. Centeno, Lourdes, 1986. "Measuring the effects of reinsurance by the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 169-182, April.

    Cited by:

    1. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    2. Hu, Xiang & Duan, Baige & Zhang, Lianzeng, 2017. "De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 48-55.
    3. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.
    4. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB Economics Working Papers 2014/310, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
    5. Centeno, Maria de Lourdes, 2002. "Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 415-427, December.
    6. Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
    7. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
    8. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
    9. Centeno, Maria de Lourdes, 2002. "Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 37-49, February.

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