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).
Contact information at EDIRC.
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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

2020022: Time and Causality in the Social Sciences

Michel Mouchart, Renzo Orsi, Federica Russo and Guillaume Wunsch

2020021: Causality in econometric modeling. From theory to structural causal modeling

Michel Mouchart, Renzo Orsi and Guillaume Wunsch

2020020: The Laplace-P-spline methodology for fast approximate Bayesian inference in additive partial linear models

Oswaldo Gressani and Philippe Lambert

2020019: Risk bounds when learning infinitely many response functions by ordinary linear regression

Vincent Plassier, François Portier and Johan Segers

2020018: Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks

Michel Denuit and Christian Y. Robert

2020017: From risk sharing to risk transfer: the analytics of collaborative insurance

Michel Denuit and Christian Y. Robert

2020016: Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving

Michel Denuit and Yang Lu

2020015: From risk sharing to pure premium for a large number of heterogeneous losses

M. Denuit and C.Y. Robert

2020014: Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities

M. Denuit and C.Y. Robert

2020013: Laplace approximation for fast Bayesian inference in generalized additive models based on penalized regression splines

O. Gressani and P. Lambert

2020012: The essentials on linear regression, ANOVA, general linear and linear mixed models for the chemist

B. Govaerts, B. Francq, R. Marion, M. Martin and M. Thiel

2020011: AdaCLV for Interpretable Variable Clustering and Dimensionality Reduction of Spectroscopic Data

Rebecca Marion, Bernadette Govaerts and Rainer von Sachs

2020010: A Random Assignment Problem: Size of Near Maximal Sets and Correct Order Expectation Bounds

Gilles Mordant

2020009: Comparison of Cluster Validity Indices and Decision Rules for Different Degrees of Cluster Separation

S. Kaczynska, R. Marion and R. von Sachs

2020008: The LassoPSVM approach for sufficient dimension reduction using principal projections

Eugen Pircalabelu and Andreas Artemiou

2020007: Graph informed sufficient dimension reduction

Eugen Pircalabelu and Andreas Artemiou

2020006: Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance

Marc Hallin, Gilles Mordant and Johan Segers

2020005: Inference on extremal dependence in a latent Markov tree model attracted to a Husler-Reiss distribution

Stefka Kirilova Asenova, Gildas Mazo and Johan Segers

2020004: Empirical tail copulas for functional data

John Einmahl and Johan Segers

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