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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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

2022002: Multivariate rough claim processes: properties and estimation

Donatien Hainaut

2022001: A subdiffusive stochastic volatility jump model

Jean-Loup Dupret and Donatien Hainaut

2021040: VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering

Rebecca Marion, Johannes Lederer, Bernadette Govaerts and Rainer von Sachs

2021039: Moment-based density and risk estimation from grouped summary statistics

Philippe Lambert

2021038: Mortality credits within large survivor funds

Michel Denuit, Peter Hieber and Christian Y. Robert

2021037: Risk-sharing rules and their properties, with applications to peer-to-peer insurance

Michel Denuit, Jan Dhaene and Christian Y. Robert

2021036: Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors

Michel Denuit and Julien Trufin

2021035: Adaptive splines for continuous features in risk assessment

Ndeye Arame Seck and Michel Denuit

2021034: Uniform concentration bounds for frequencies of rare events

Stéphane Lhaut, Anne Sabourin and Johan Segers

2021033: Data sharpening for improving CLT approximations for DEA-type efficiency estimators

Bao Hoang Nguyen, Leopold Simar and Valentin Zelenyuk

2021032: Linear manifold modeling and graph estimation based on multivariate functional data with different coarseness scales

Eugen Pircalabelu and Gerda Claeskens

2021031: Unbalanced distributed estimation and inference for precision matrices

Ensiyeh Nezakati and Eugen Pircalabelu

2021030: A spline-based time-varying reproduction number for modelling epidemiological outbreaks

Eugen Pircalabelu

2021029: Inference in the Nonparametric Stochastic Frontier Model

Christopher Parmeter, Leopold Simar, Ingrid Van Keilegom and Valentin Zelenyuk

2021028: Moment generating function of non-Markov self-excited claims processes

Donatien Hainaut

2021027: Teaching statistical inference without normality

Christian Hafner

2021026: Portfolio insurance under rough volatility and Volterra processes

Jean-Loup Dupret and Donatien Hainaut

2021025: Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model

Charles Guy Njike Leunga and Donatien Hainaut

2021024: Measuring dependence between random vectors via optimal transport

Gilles Mordant and Johan Segers