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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2020003: Option pricing in illiquid markets: a fractional jump-diffusion approach

Donatien Hainaut and Nikolai Leonenko

2020002: Credit risk modelling with fractional self-excited processes

Donatien Hainaut

2020001: Wavelet-based feature-engineering for mortality projection

Donatien Hainaut and Michel Denuit

2019028: Investing in your own and peers' risks: The simple analytics of p2p insurance

Michel Denuit

2019027: Credit risk modelling with fractional self-excited processes

Donatien Hainaut

2019026: Wavelet-based feature-engineering for mortality projection

Donatien Hainaut and Michel Denuit

2019025: BIOT: Explaining Multidimensional MDS Embeddings Using the Best Interpretable Orthogonal Transformation

Adrien Bibal, Rebecca Marion, Benoit Frenay and Rainer von Sachs

2019024: Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

Matteo Barigozzi, Marc Hallin, Stefano Soccorsi and R. von Sachs

2019023: Predicting Recessions: A New Measure of Output Gap as Predictor

Camilla Mastromarco, Leopold Simar and Paul Wilson

2019022: Uncertainty quantification in sunspot counts

S. Mathieu, R. von Sachs, C. Ritter, V. Delouille and L. LEFeVRE

2019021: LiMM-PCA: combining ASCA+ and linear mixed models to analyse high dimensional designed data

Manon Martin and Bernadette Govaerts

2019020: Feature Selection in metabolomics with PLS-derived methods

Manon Martin and Bernadette Govaerts

2019019: Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits

Leopold Simar and Paul Wilson

2019018: Mean reversion in stochastic mortality: why and how?

Fadoua Zeddouk and Pierre Devolder

2019017: Interbank Credit Risk Modelling with Self-Exciting Jump Processes

Charles Guy Njike Leunga and Donatien Hainaut

2019016: Fractional Hawkes processes

Donatien Hainaut

2019015: Control variate selection for Monte Carlo integration

Remi Leluc, Francois Portier and Johan Segers

2019014: Two-mode clustering through profiles of regions and sectors

Christian Haedo and Michel Mouchart

2019013: Home and Motor insurance joined at a household level using multivariate credibility

Florian Pechon, Michel Denuit and Julien Trufin

2019012: On Some Resampling Procedures with the Empirical Beta Copula

Anna Kiriliouk, Johan Segers and Hideatsu Tsukahara

2019011: Une alternative a la pension a points: le compte individuel pension en euros

Pierre Devolder

2019010: Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines

Michel Denuit

2019009: Size-biased risk measures of compound sums

Michel Denuit

2019008: Spectral Analysis of Multivariate Time Series

Rainer von Sachs

2019007: Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system

Hamza Hanbali, Hubert Claassens, Michel Denuit, Jan Dhaene and Julien Trufin

2019006: Model selection based on Lorenz and concentration curves, Gini indices and convex order

Michel Denuit, Dominik Sznajder and Julien Trufin

2019005: Concordance-based predictive measures in regression models for discrete responses

Michel Denuit, Mhamed Mesfoui and Julien Trufin

2019004: Quality and its impact on efficiency

Cinzia Daraio, Leopold Simar and Paul Wilson

2019003: La modelisation en sciences sociales: Incertitudes et defis

Guillaume Wunsch, Michel Mouchart and Federica Russo

2019002: Examining Cause-Effect Relations in the Social Sciences A Structural Causal Modelling Approach

Guillaume Wunsch, Michel Mouchart and Federica Russo

2019001: One- versus multi-component regular variation and extremes of Markov trees

Johan Segers

2018035: On the Performance of Coefficient of Variation Charts in the Presence of Measurement Errors

Kim Phuc Tran, Cedric Heuchenne and Narayanaswamy Balakrishnan

2018034: Monitoring the ratio of two normal variables using variable sampling interval exponentially weighted moving average control charts

Huu Du Nguyen, Kim Phuc Tran and Cedric Heuchenne

2018033: Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures

Alessandro Beretta and Cedric Heuchenne

2018032: Multivariate credibility modeling for usage-based motor insurance pricing with behavioral data

Michel Denuit, Montserrat Guillen and Julien Trufin

2018031: Stability and tail limits of transport-based quantile contours

Cees Fouad de Valk and Johan Segers

2018030: Comparison of PARAFASCA, AComDim, and AMOPLS approaches in the multivariate GLM modelling of multi-factorial designs

Severine Guisset, Manon Martin and Bernadette Govaerts

2018029: An estimator of the stable tail dependence function based on the empirical beta copula

Anna Kiriliouk, Johan Segers and Laleh Tafakori

2018028: A mollifier approach to the deconvolution of probability densities

Pierre Marechal, Leopold Simar and Anne Vanhems

2018027: Causality in the Social Sciences: A structural modelling framework

Federica Russo, Guillaume Wunsch and Michel Mouchart

2018026: Automatic biclustering of regions and sectors

Christian Haedo and Michel Mouchart

2018025: Intrinsic wavelet regression for surfaces of Hermitian positive definite matrices

Van Vinh Chau and Rainer von Sachs

2018024: Static risk measurement of life annuity products: the longevity model

Pauline Ngugnie Diffouo and Pierre Devolder

2018023: Valuation of insurer's solvency for a life annuity within the equity-longevity model

Pierre Devolder and Pauline Ngugnie Diffouo

2018022: Adequacy, Fairness and Sustainability of Pay as you go systems: Defined Benefit versus Defined Contribution

Jennifer Alonso-Garcia, Maria Del Carmen Boado-Penas and Pierre Devolder

2018021: Central Limit Theorems and Inference for Sources of Productivity Change Measured by Nonparametric Malmquist Indices

Leopold Simar and Paul Wilson

2018020: Improving Finite Sample Approximation by Central Limit Theorems for DEA and FDH efficiency scores

Leopold Simar and Valentin Zelenyuk

2018019: Multivariate Modelling of Multiple Guarantees in Motor Insurance of a Household

Florian Pechon, Michel Denuit and Julien Trufin

2018018: Technical, Allocative and Overall Efficiency: Inference and Hypothesis Testing

Leopold Simar and Paul Wilson

2018017: Fast and Efficient Computation of Directional Distance Estimators

Cinzia Daraio, Leopold Simar and Paul Wilson