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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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

2021023: Concentration bounds for the empirical angular measure with statistical learning applications

Stéphan Clémençon, Hamid Jalalzai, Anne Sabourin, Stéphane and Johan Segers

2021022: From risk reduction to risk elimination by conditional mean risk sharing of independent losses

Michel Denuit and Christian Y. Robert

2021021: Testing for more positive expectation dependence with application to model comparison

Michel Denuit, Julien Trufin and Thomas Verdebout

2021020: Lévy interest rate models with a long memory

Donatien Hainaut

2021019: A fractional multi-states model for insurance

Donatien Hainaut

2021018: CDS Pricing with Fractional Hawkes Processes

John John Ketelbuters and Donatien Hainaut

2021017: Impact of rough stochastic volatility models on long-term life insurance pricing

Jean-Loup Dupret, Jérôme Barbarin and Donatien Hainaut

2021016: Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses

Michel Denuit and Christian Y. Robert

2021015: Boosting cost-complexity pruned trees On Tweedie responses: the ABT machine

Julien Trufin and Michel Denuit

2021014: Nonparametric monitoring of sunspot number observations: a case study

Sophie Mathieu, Laure Lefèvre, Rainer von Sachs, Véronique Delouille, Christian Ritter and Frédéric Clette

2021013: Autocalibration and Tweedie-dominance for insurance pricing with machine learning

Michel Denuit, Arthur Charpentier and Julien Trufin

2021012: Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link

Donatien Hainaut, Julien Trufin and Michel Denuit

2021011: A new measure of mortality differentials based on precedence probability

Meitner Cadena and Michel Denuit

2021010: Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy

Vanessa Hanna, Peter Hieber and Pierre Devolder

2021009: Comparison of chemometrics strategies for the spectroscopic monitoring of active pharmaceutical ingredients in chemical reactions

Michel Thiel, Nicolas Sauwen, Tastian Khamiakova, Tor Maes and Bernadette Govaerts

2021008: Maxima and near-maxima of a Gaussian random assignment field

Gilles Mordant and Johan Segers

2021004: Time-Consistent Evaluation of Credit Risk with Contagion

John John Ketelbuters and Donatien Hainaut

2021003: Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs

Leopold Simar and Paul Wilson

2021002: Methodologies for assessing government efficiency

O’Loughlin, Caitlin, Leopold Simar and Paul Wilson

2021001: Risk sharing under the dominant peer-to-peer property and casualty insurance business models

Michel Denuit and Christian Y. Robert

2020033: Gender effect on microfinance social efficiency: A robust nonparametric approach

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

2020032: Dynamic portfolio selection with sector-specific regularization

Christian Hafner and Linqi Wang

2020031: Dynamic score driven independent component analysis

Christian Hafner and Helmut Herwartz

2020030: Nonparametric robust monitoring of time series panel data

Véronique Delouille, Laure Lefèvre, Sophie Mathieu, Christian Ritter and Rainer von Sachs

2020029: Conditional mean risk sharing for dependent risks using graphical models

Michel Denuit and Christian Y. Robert

2020028: Stop-loss protection for a large P2P insurance pool

Michel Denuit and Christian Y. Robert

2020027: Hospital inpatients costs dynamics at older ages: A frequency-severity approach

Hervé Avalosse, Michel Denuit and Nathalie Lucas

2020026: Life-Care Tontines

Peter Hieber and Nathalie Lucas

2020025: An actuarial approach for modeling pandemic risk

Donatien Hainaut

2020024: Risk reduction by conditional mean risk sharing with application to collaborative insurance

Michel Denuit and Christian Y. Robert

2020023: Efron’s asymptotic monotonicityproperty in the gaussian stable domain of attraction

Michel Denuit and Christian Y. Robert