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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2011014: When Ross meets Bell: the linex utility function

M. Denuit, L. Eeckhoudt and Harris Schlesinger

2011013: Multivariate volatility modeling of electricity futures

Luc Bauwens, Christian Hafner and Diane Pierret

2011012: Large-sample tests of extreme-value dependence for multivariate copulas

Jean D. Kojadinovic, Johan Segers and Yun Yan

2011011: Semiparametric transformation model with endogeneity: a control function approach

Anne Vanhems and Ingrid Van Keilegom

2011010: Semi Markov regime switching interest rate models and minimal entropy measure

Julien Hunt and Pierre Devolder

2011009: A semi-Markov regime switching extension of the Vasicek model

Julien Hunt and Pierre Devolder

2011008: Estimation in semiparametric models with missing data: Article de recherche

Song Xi Chen and Ingrid Van Keilegom

2011007: Inferring causal relations by modelling structures: Article de recherche

Michel Mouchart, Federica Russo and Guillaume Wunsch

2011006: A Stochastic Independence Approach for different Measures of Global Specialization

Christian Haedo and Michel Mouchart

2011005: An M-Estimator For Tail Dependence In Arbitrary Dimensions

John Einmahl, Andrea Krajina and Johan Segers

2011004: Nonparametric endogenous post-stratification estimation

Mark Dahlke, F. Jay Breidt, Jean D. Opsomer and Ingrid Van Keilegom

2011003: Statistical models and methods for dependence in insurance data

Ingrid Van Keilegom and Noel Veraverbeke

2011002: Ideal denoising within a family of tree-structured wavelet estimators

F. Autin, Jean-Marc Freyermuth and Rainer von Sachs

2011001: Bayesian generalized profiling estimation in hierarchical linear dynamic systems

Jonathan Jaeger and Philippe Lambert

2010054: Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions

J. Segers

2010053: Probabilities in a non-Markov model with successive survival times

L. Meira-Machado, J. Roca-Pardinas, I. Van Keilegom and C. Cadarso-Suarez

2010052: Local maximum likelihood techniques with categorical data

Byeong U. Park, Leopold Simar and Valentin Zelenyuk

2010051: Additive location-scale models for interval censored data

P. Lambert

2010050: How to measure the impact of environmental factors in a nonparametric production model?

Luiza Badin, Cinzia Daraio and Leopold Simar

2010049: Ordering functions of random vectors, with application to partial sums

Michel Denuit and Mhamed Mesfioui

2010048: Estimation and calibration of a continuous-time semi-Markov switching model

J. Hunt and M. Hahn

2010047: Stronger measures of higher-order risk attitudes: an extension

Michel Denuit and Louis Eeckhoudt

2010046: Boundary estimation in the presence of measurement error with unknown variance

A. Kneip, Leopold Simar and I. Van Keilegom

2010045: Nonparametric bayesian inference on bivariate extremes

Simon Guillotte, Francois Perron and Johan Segers

2010044: Dispersive effect of cross-aging with Archimedean copulas

Michel Denuit and Mhamed Mesfioui

2010043: Convex order and comonotonic conditional mean risk sharing

Michel Denuit and Jan Dhaene

2010042: Decomposing regional efficiency

Axel Schaffer, Leopold Simar and Jan Rauland

2010041: Two-Stage DEA: Caveat Emptor

Leopold Simar and Paul Wilson

2010040: Probabilistic characterization of directional distances and their robust versions

Leopold Simar and Anne Vanhems

2010039: Bootstrap and inference when both response and regressor are functional

Frederic Ferraty, Ingrid Van Keilegom and Philippe Vieu

2010038: Minimal entropy martingale measure in a semi-Markov regime switching Cox-Ross-Rubinstein model

J. Hunt and P. Devolder

2010034: The Solvency II square-root formula for systematic biometric risk

M. Christiansen, Michel Denuit and D. Lazar

2010033: Robust estimation for homoscedastic regression in the secondary analysis of case-control data

Jiawei Wei, Raymond J. Caroll, Ursula U. Muller, Ingrid Van Keilegom and Nimanjan Chatterjee

2010032: Estimation of parameters of regularly varying distributions on convex cones

Y. Davydov and Liu S.

2010031: Testing whether two-stage estimation is meaningful in non-parametric models of production

Cinzia Daraio, Leopold Simar and Paul Wilson

2010030: BAGIDIS, a new method for statistical analysis of differences between curves with sharp discontinuities

Catherine Timmermans and Rainer von Sachs

2010029: Inferring causality through counterfactuals in observational studies some epistemological issues

F. Russo, G. Wunsch and M. Mouchart

2010028: Nonparametric frontier estimation from noisy data

M. Schwarz, S. Van Bellegem and J.P. Florens

2010027: Maxima of moving maxima of continuous functions

T. Meinguet

2010026: Adaptive nonparametric instrumental regression by model selection

Jan Johannes and Maik Schwarz

2010025: Positive dependence of signals

Michel Denuit

2010024: Transformations preserving stochastic dominance: Theory and applications

Michel Denuit, Louis Eeckhoudt and O. Jokung

2010023: Longevity-indexed life annuities

Michel Denuit, S. Haberman and A. Renshaw

2010022: Ruin problems under IBNR dynamics

H. Albrecher, Michel Denuit and Julien Trufin

2010021: Prudence, temperance, edginess, and higher degree risk apportionment as decreasing correlation aversion

Michel Denuit and B. Rey

2010020: Adding independent risks in an insurance portfolio: wich shape for the insurer's preferences?

M. Denuit, Eeckhoudt L. and Mario Menegatti

2010019: Properties of risk measures derived from ruin theory

J. Trufin, H. Albrecher and M. Denuit

2010018: Bivariate stochastic dominance and common preferences of decision-makers with risk independent utilities

Michel Denuit and Louis Eeckhoudt

2010017: Somes consequences of correlation aversion in decision science

Michel Denuit, Louis Eeckhoudt and B. Rey

2010016: Ruin problems in presence of underwriting cycles

H. Albrecher, Michel Denuit and Julien Trufin

2010015: Correlated risks, bivariate utility and optimal choices

M. Denuit, Eeckhoudt L. and Mario Menegatti

2010014: Composite Lognormal-Pareto model with random threshold

Mathieu Pigeon and Michel Denuit

2010013: A general index of absolute risk attitude

M. Denuit and Eeckhoudt L.

2010012: Generalized increasing convex and directionally convex orders

Michel Denuit and Mhamed Mesfioui

2010011: Comonotonic Approximations To Quantiles of Life Annuity Conditional Expected Present Values: Extensions To General ARIMA Models and Comparison With the Bootstrap

Michel Denuit, S. Haberman and A.E. Renshaw

2010010: Stronger measures of higher-order risk attitudes

Michel Denuit and Louis Eeckhoudt

2010009: First-order mortality rates and safe-side actuarial calculations in life insurance

Marcus C. Christiansen and Michel Denuit

2010008: Transformations of multivariate regularly varying tail distributions

Y. Davydov and Liu S.

2010007: Estimation of a general parametric location in censored regression

Cedric Heuchenne and Ingrid Van Keilegom

2010006: On the estimation of dynamic conditional correlation models

Christian Hafner and O. Reznikova

2010005: Samples sizes in oncology trials: a survey

N. Meyer, Catherine Legrand and Giuseppe Giaccone

2010004: Occupational exposure to noise and the prevalence of hearing loss in a Belgian military population: a cross-sectional study

A. Collee, Catherine Legrand, Bernadette Govaerts, P. Van der Veken, V. De Boodt and E Degrave

2010003: A short note on continuous-time Markov and semi-Markov processes

J. Hunt

2010002: Regularly varying time series in Banach spaces

Thomas Meinguet and Johan Segers

2010001: A functional limit theorem for partial sums of dependent random variables with infinite variance

B. Basrak, D. Krizmanic and J. Segers