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).
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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

2024003: Sliced-Wasserstein Estimation with Spherical Harmonics as Control Variates

Rémi Leluc, Aymeric Dieuleveut, François Portier, Johan Segers and Aigerim Zhuman

2024002: Option pricing in the Heston model with Physics inspired neural networks

Donatien Hainaut and Alex Casas

2024001: Affine Heston model style with self-exciting jumps and long memory

Charles Guy Leunga Njike and Donatien Hainaut

2023038: X-Vine Models for Multivariate Extremes

Anna Kiriliouk, Jeongjin Lee and Johan Segers

2023037: Estimation of stable parameters for multiple autoregressive processes via convex programming

Somnath Chakraborty, Johannes Lederer and Rainer von Sachs

2023036: Copula based dependent censoring in cure models

Morine Delhelle and Ingrid Van Keilegom

2023035: Right to be forgotten for mortgage insurance issued to cancer survivors: critical assessment and new proposal

Antoine Soetewey, Catherine Legrand, Michel Denuit and Geert Silversmit

2023034: Multivariate generalized Pareto distributions along extreme directions

Anas Mourahib, Anna Kiriliouk and Johan Segers

2023033: A Simple Two Period Overlapping Generation (OLG) Model For Public Pension Scheme (PAYG)

Hassana Al-Hassan, Pierre Devolder, Christiana Nayrko and K. Sagary Nokoh

2023032: Statistical Inference for Hicks–Moorsteen Productivity Indices

Leopold Simar, Valentin Zelenyuk and Shirong Zhao

2023031: Inference in Dynamic, Nonparametric Models of Production for General Technologies

Leopold Simar and Paul Wilson

2023030: Mitigating Digital Asset Risks

Huei-Wen Teng, Wolfgang Karl Härdle, Christian M. Hafner and , E.A.

2023029: Valuation of guaranteed minimum accumulation benefits (GMAB) with physics inspired neural networks

Donatien Hainaut

2023028: An axiomatic theory for comonotonicity-based risk sharing

Jan Dhaene, Christian Y. Robert, Ka Chun Cheung and Michel Denuit

2023027: Lorenz Regression: an implementation of the Lorenz and penalized Lorenz regressions in R

Alexandre Jacquemain and Cédric Heuchenne

2023026: Partial hedging in rough volatility models

Edouard Motte and Donatien Hainaut

2023025: Variational autoencoder for synthetic insurance data

Charlotte Jamotton and Donatien Hainaut

2023024: Directional false discovery rate control via debiased and distributed procedures in Gaussian graphical models

Ensiyeh Nezakati and Eugen Pircalabelu

2023023: Hybrid life insurance valuation based on a new standard deviation premium principle in a stochastic interest rate framework

Oussama Belhouari, Griselda Deelstra and Pierre Devolder

2023022: Automatic Adjustment Mechanisms in Public Pension Schemes to Address Population Ageing and Socioeconomic Disparities in Longevity

Keivan Diakite and Pierre Devolder

2023021: Estimation and inference in sparse multivariate regression and conditional Gaussian graphical models under an unbalanced distributed setting

Ensiyeh Nezakati and Eugen Pircalabelu

2023020: An asymptotic expansion of the empirical angular measure for bivariate extremal dependence

Stéphane Lhaut and Johan Segers

2023019: Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence

Rémi Leluc, François Portier, Aigerim Zhuman and Johan Segers

2023018: Efficiency of Italian Municipalities and Waste Regulatory Target

Cinzia Daraio, Simone Di Leo and Leopold Simar

2023017: Sensitivity to measurement errors of the distance to the efficient frontier

Marie Brière, Leopold Simar, Ariane Szafarz and Anne Vanhems

2023016: Inference for Aggregate Efficiency: Theory and Guidelines for Practitioners

Leopold Simar, Valentin Zelenyuk and Shirong Zhao

2023015: Further Improvements of Finite Sample Approximation of Central Limit Theorems for Envelopment Estimators

Leopold Simar, Valentin Zelenyuk and Shirong Zhao

2023014: Bivariate Poisson credibility model and bonus-malus scale for claim and near-claim events

Pierre-Alexandre Simon, Julien Trufin and Michel Denuit

2023013: Health indices for disease incidence and duration in the Semi-Markov setting

Antoine Soetewey, Catherine Legrand, Michel Denuit and Geert Silversmit

2023012: Optimal liquidation under indirect price impact with propagator

Jean-Loup Dupret and Donatien Hainaut

2023011: A mutually exciting rough jump diffusion for financial modelling

Donatien Hainaut