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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2023010: Conditional mean risk sharing of independent discrete losses in large pools

Michel Denuit and Christian Y. Robert

2023009: Endowment contingency funds for mutual aid and public financing

Michel Denuit and Christian Y. Robert

2023008: Boosted Poisson regression trees: A guide to the BT package in R

Gireg Willame, Julien Trufin and Michel Denuit

2023007: The rough Hawkes process

Donatien Hainaut, Maggie Chen and Enrico Scalas

2023006: Exogenous time-varying covariates in double additive cure survival model with application to fertility

Philippe Lambert and Michaela Kreyenfeld

2023005: Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance

Michel Denuit, Jan Dhaene, Mario Ghossoub and Christian Y. Robert

2023004: Causal inference with (partially) independent shocks and structural signals on the global crude oil market

Christian M. Hafner, Helmut Herwartz and Shu Wang

2023003: Risk management with Local Least Squares Monte-Carlo

Donatien Hainaut and Adnane Akbaraly

2023002: Insurance analytics with clustering techniques

Charlotte Jamotton, Donatien Hainaut and Thomas Hames

2023001: A fractional Hawkes process for illiquidity modeling

Jean-Loup Dupret and Donatien Hainaut

2022042: Stochastic Modellization of Hybrid Public Pension Plans (PAYG) under Demographic Risks with Application to the Belgian Case

Hassana Al-Hassan and Pierre Devolder

2022041: Autocalibration by balance correction in nonlife insurance pricing

Michel Denuit and Julien Trufin

2022040: Tweedie dominance for autocalibrated predictors and Laplace transform order

Michel Denuit and Julien Trufin

2022039: Boosting on the responses with Tweedie loss functions

Michel Denuit, Julien Trufin and Thomas Verdebout

2022038: Pricing and hedging of longevity basis risk through securitization

Fadoua Zeddouk and Pierre Devolder

2022037: Asymmetric volatility impulse response functions

Christian Hafner and Helmut Herwartz

2022036: DAI Digital Art Index: a robust price index for heterogeneous digital assets

Min-Bin Lin, Bingling Wang, Fabian Y.R.P. Bocart, Christian M. Hafner and Wolfgang Härdle

2022035: Estimating Nonparametric Conditional Frontiers and Efficiencies: A New Approach

Camilla Mastromarco, Leopold Simar and Ingrid Van Keilegom

2022034: Dynamic conditional mean risk sharing in the compound Poisson surplus model

Michel Denuit and Christian Y. Robert

2022033: Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration

Michel Denuit and Julien Trufin

2022032: Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions

Manuel Hentschel, Sebastian Engelke and Johan Segers

2022031: Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments

Stefka Asenova and Johan Segers

2022030: Penalty parameter selection and asymmetry corrections to Laplace approximations in Bayesian P-splines models

Philippe Lambert and Oswaldo Gressani

2022029: Allocation of benefits in mutual aid and survivor funds

Michel Denuit and Christian Y. Robert

2022028: Another Look at Productivity Growth in Industrialized Countries

Leopold Simar and Paul Wilson

2022027: Change point inference in high-dimensional regression models under temporal dependence

Haotian Xu, Daren Wang, Zifeng Zhao and Yi Yu

2022026: A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk

John-John Ketelbuters and Donatien Hainaut

2022025: Option pricing and hedging in illiquid markets in presence of jump clustering

John-John Ketelbuters and Donatien Hainaut

2022024: Conical FDH Estimators of General Technologies, with Applications to Returns to Scale and Malmquist Productivity Indices

Alois Kneip, Leopold Simar and Paul Wilson

2022023: Second Birth Fertility in Germany: Social Class, Gender, and the Role of Economic Uncertainty

Michaela Kreyenfeld, Dirk Konietzka, Philippe Lambert and Vincent Jerald Ramos

2022022: Graphical and uniform consistency of estimated optimal transport plans

Johan Segers

2022021: Modelling multivariate extreme value distributions via Markov trees

Shuang Hu, Zuoxiang Peng and Johan Segers

2022020: Invariance properties of limiting point processes and applications to clusters of extremes

Anja Janssen and Johan Segers

2022019: A calendar year mortality model in continuous time

Donatien Hainaut

2022018: A Quadrature Rule combining Control Variates and Adaptive Importance Sampling

Rémi Leluc, François Portier, Johan Segers and Aigerim Zhuman

2022017: Approximations and Inference for Nonparametric Production Frontiers

Cinzia Daraio and Leopold Simar

2022016: Proportional Incremental Cost Probability Functions and their Frontiers

Frédérique Fève, Jean-Pierre Florens and Leopold Simar

2022015: Communication relative aux pensions: digitalisation et défis pour l'avenir

Myriam Lanotte and Pierre Devolder

2022014: Tail inference using extreme U-statistics

Jochem Oorschot, Johan Segers and Chen Zhou

2022013: Extremes of Markov random fields on block graphs

Stefka Asenova and Johan Segers

2022012: Pricing of spread and exchange options in a rough jump-diffusion market

Donatien Hainaut

2022011: A mollifier approach to the deconvolution of probability densities

Thorsten Hohage, Pierre Maréchal, Leopold Simar and Anne Vanhems

2022010: Investigating the unobserved heterogeneity effect on microfinance social efficiency

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

2022009: Dynamic Autoregressive Liquidity (DArLiQ)

Christian Hafner, Oliver Linton and Linqi Wang

2022008: Overlapping clustering of time dependent variables for fMRI data

Eugen Pircalabelu and Xin Bing

2022007: WB-graphs: a within versus between group similarity interplay

Eugen Pircalabelu

2022006: Modern Tools for Evaluating the Performance of Health-Care Providers

Leopold Simar and Paul Wilson

2022005: Statistical Inference for Aggregation of Malmquist Productivity Indices

Manh D. Pham, Leopold Simar and Valentin Zelenyuk

2022004: Statistical inference for intrinsic wavelet estimators of SPD covariance matrices in a log-Euclidean manifold

Johannes Krebs, Daniel Rademacher and Rainer von Sachs

2022003: Long memory self-exciting jump diffusion for asset prices modeling

Charles G. Njike Leunga and Donatien Hainaut