LIDAM Discussion Papers ISBA

From Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium).
Contact information at EDIRC.
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2026002: Nonparametric Models of Production: Efficiency Estimation and Statistical Inference

Leopold Simar and Paul Wilson

2026001: An economic-environmental approach for regional mortality

Donatien Hainaut

2025026: Another look at the zero integral difference between lorenz and concentration curves in supervised learning

Michel Denuit and Julien Trufin

2025025: Recursive partitioning based on gini index for insurance pricing

Michel Denuit, Robin Petit, Pierre-Alexandre Simon and Julien Trufin

2025024: Wasserstein boosting trees algorithm for count data, with application to claim frequencies in motor insurance

Michel Denuit, Marie Michaelides, Julien Trufin and Harrison Verelst

2025023: Signature approach for pricing and hedging path-dependent options with frictions

Eduardo Abi Jaber, Donatien Hainaut and Edouard Motte

2025022: Single Index Models for Nonparametric Conditional Frontiers

Catherine Cazals, Jean-Pierre Florens and Leopold Simar

2025021: Consistency of M-estimators for non-identically distributed data: the case of fixed-design distributional regression

Axel Bücher, Johan Segers and Torben Staud

2025020: Nonparametric Spatial Frontier Models for Productivity Analysis: Evidence from EU Regions

Camilla Mastromarco and Leopold Simar

2025019: Gender Effects on Microfinance Social Efficiency: A Robust Approach Incorporating Undesirable Outputs

Cinzia Daraio, François Seck Fall, Leopold Simar and Anne Vanhems

2025018: The Three-step method in a dynamic setting

Oussama Belhouari, Pierre Devolder and Daniel Linders

2025017: Mortality Modeling and Forecasting with the Actuaries Climate Index

Karim Barigou, Melanie Patten and Kenneth Q. Zhou

2025016: A Penalized Distributed Lag Non-Linear Lee-Carter Framework for Regional Weekly Mortality Forecasting

Jens Robben and Karim Barigou

2025015: A penalized least squares estimator for extreme-value mixture models

Anas Mourahib, Anna Kiriliouk and Johan Segers

2025014: High-dimensional inference for Model Averaging estimators

Lise Léonard, Eugen Pircalabelu and Rainer von Sachs

2025013: Reconciling Engineers and Economists: the Case of a Cost Function for the Distribution of Gas

Frédérique Fève, Jean-Pierre Florens and Leopold Simar

2025012: Optimal control by policy improvements and constrained Gaussian process regressions

Donatien Hainaut and Jean-Loup Dupret

2025011: In-processing of actuarial and equity fairness constraints for Neural networks

Donatien Hainaut

2025010: Wasserstein–Aitchison GAN for angular measures of multivariate extremes

Stéphane Lhaut, Holger Rootzén and Johan Segers

2025009: A multivariate energy-based fairness adjuster for premiums

Charlotte Jamotton and Donatien Hainaut

2025008: Modeling prices from speculative markets: bursting bubbles or deflating balloons?

Christian Hafner, Andrew Harvey and Linqi Wang

2025007: Peer-to-Peer Basis Risk Management for Renewable Production Parametric Insurance

Fallou Niakh, Alicia Bassière, Michel Denuit and Christian Robert

2025006: Granular mortality modeling with temperature and epidemic shocks: a three-state regime-switching approach

Jens Robben, Karim Barigou and Torsten Kleinow

2025005: Joint modeling of longitudinal HRQoL data accounting for the risk of competing dropouts

Hortense Doms, Catherine Legrand and Philippe Lambert

2025004: Insurance risk classification with Generalized Gaussian Process Regression models

Donatien Hainaut and Michel Denuit

2025003: The Volterra Stein-Stein model with stochastic interest rates

Eduardo Abi Jaber, Donatien Hainaut and Edouard Motte

2025002: Derivatives under Market Impact: Disentangling Cost and Information

Behzad Alimoradian, Karim Barigou and Anne Eyraud-Loisel

2025001: Pensions des pouvoirs locaux en Belgique: La réforme de 2018 à l’épreuve de l’équité intergénérationnelle

Pierre Devolder and Kevin Hartmann

2024025: Comparison of predictors’ performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams

Michel Denuit and Julien Trufin

2024024: Bayesian mortality modelling with pandemics: a vanishing jump approach

Julius Goes, Karim Barigou and Anne Leucht

2024023: American option pricing with model constrained Gaussian process regressions

Donatien Hainaut

2024022: Asymmetric Models for Realized Covariances

Luc Bauwens, Emilija Dzuverovic and Christian Hafner

2024021: European option pricing with model constrained Gaussian process regressions

Donatien Hainaut and Frédéric Vrins

2024020: A panel analysis of microfinance efficiency measures: Evidence on the effects of unobserved managerial ability

François Seck Fall, Hubert Tchakoute Tchuigoua, Anne Vanhems and Leopold Simar

2024019: No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses

Michel Denuit, Patricia Ortega-Jimenez and Christian Y. Robert

2024018: Tail calibration of probabilistic forecasts

Sam Allen, Jonathan Koh, Johan Segers and Johanna Ziegel

2024017: Risk times in mission-oriented systems

Antonio Arriaza, Jorge Navarro and Patricia Ortega-Jiménez

2024016: Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution

Jean-Loup Dupret and Donatien Hainaut

2024015: Participating life insurances in an equity-Libor Market Model

Donatien Hainaut and Laurent Devineau

2024014: Time-varying degree-corrected stochastic block models

Mengxue Li, Rainer von Sachs and Eugen Pircalabelu

2024013: Efficient hedging of life insurance portfolio for loss-averse insurers

Edouard Motte and Donatien Hainaut

2024012: A Fast Method for Implementing Hypothesis Tests with Multiple Sample Splits in Nonparametric Models of Production

Leopold Simar and Paul Wilson

2024011: Intergenerational risk sharing in pay-as-you-go pension schemes

Hélène Morsomme, Jennifer Alonso-Garcia and Pierre Devolder

2024010: Central Limit Theorems for Directional Distance Functions with and without Undesirable Outputs

Leopold Simar, Valentin Zelenyuk and Shirong Zhao

2024009: Conical FDH Estimators of Directional Distances and Luenberger Productivity Indices for General Technologies

Cinzia Daraio, Simone Di Leo and Leopold Simar

2024008: Latent Dirichlet Allocation for structured insurance data

Charlotte Jamotton and Donatien Hainaut

2024007: The effect of stock splits on liquidity in a dynamic model

Christian Hafner, Oliver Linton and Linqi Wang

2024006: Conditional expectations given the sum of independent random variables with regularly varying densities

Michel Denuit, Patricia Ortega-Jimenez and Christian Y. Robert

2024005: A penalised bootstrap estimation procedure for the explained Gini coefficient

Alexandre Jacquemain, Cédric Heuchenne and Eugen Pircalabelu

2024004: Time-Varying Covariance Matrices Estimation by Nonlinear Wavelet Thresholding in a Log-Euclidean Riemannian Manifold

Gabriel Bailly and Rainer von Sachs