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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2017017: Bayesian Clustering and Dimension Reduction in Multivariate Extremes

Sabrina Vettori, Raphael Huser, Johan Segers and Marc Genton

2017016: Multivariate generalized Pareto distributions: parametrizations, representations, and properties

Holger Rootzen, Johan Segers and Jennifer Wadsworth

2017015: Weak convergence of the weighted empirical beta copula process

Betina Berghaus and Johan Segers

2017014: On the longest gap between power-rate arrivals

Soren Asmussen, Jevgenijs Ivanovs and Johan Segers

2017013: Inclusion of time-varying covariates in cure survival models with an application in fertility studies

Vincent Bremhorst and Philippe Lambert

2017012: Hedging of options in presence of jump clustering

D. Hainaut and Franck Moraux

2017011: Robust evaluation of SCR for participating life insurances under Solvency II

D. Hainaut, P. Devolder and Antoon Pelsser

2017010: Asymmetries in Business Cycles and the Role of Oil Prices

Betty Daniel, Christian Hafner, Hans Manner and Leopold Simar

2017009: On asymptotic theory for ARCH(infinite) models

Christian Hafner and Arie Preminger

2017008: A general approach for cure models in survival analysis

Valentin Patilea and Ingrid Van Keilegom

2017007: Cure models in survival analysis

Mailis Amico and Ingrid Van Keilegom

2017006: Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views

Fabrice Borel-Mathurin, Stéphane Loisel and Johan Segers

2017005: Time-frequency analysis of locally stationary Hawkes processes

Francois Roueff and Rainer von Sachs

2017004: Nonparametric double additive cure survival models: an application to the estimation of the nonlinear effect of age at first parenthood on fertility progression

Vincent Bremhorst, Michaela Kreyenfeld and Philippe Lambert

2017003: An Adapted Loss Function for Censored Quantile Regression

Mickael De Backer, Anouar El Ghouch and Ingrid Van Keilegom

2017002: Positive-Definite Multivariate Spectral Estimation: A Geometric Wavelet Approach

Van Vinh Chau and Rainer von Sachs

2017001: Testing for stationarity of functional time series in the frequency domain

Alexander Aue and Anne Van Delft

2016050: Heterogeneous Liquidity Effects in Corporate Bond Spreads

Christian Hafner and Fabian Walders

2016049: The SNP representation in mixture cure models with interval-censoring: estimation and goodness-of-fit testing

Sylvie Scolas, Anouar El Ghouch and Catherine Legrand

2016048: Testing for qualitative heterogeneity: An application to composite endpoints in survival analysis

Abderrahim Oulhaj, Anouar El Ghouch and Rury Holman

2016047: Estimation of a bivariate conditional copula when a variable is subject to random right censoring

Taoufik Bouezmarni, Felix Camirand and Anouar El Ghouch

2016046: Bounds on Concordance-Based Validation Statistics in Regression Models for Binary Responses

Michel Denuit, Mhamet Mesfioui and Julien Trufin

2016045: Risk Classification in Life Insurance: Extension to Continuous Covariates

Michel Denuit and Catherine Legrand

2016044: Risk Apportionment and Multiply Monotone Targets

Michel Denuit

2016043: Bounds on Kendall’s Tau for Zero-Inflated Continuous Variables

Michel Denuit and Mhamed Mesfioui

2016042: Automatic biclustering of regions and sectors

Christian Haedo and Michel Mouchart

2016041: Fast Bayesian inference in semi-parametric P-spline cure survival models using Laplace approximations

Oswaldo Gressani and Philippe Lambert

2016040: Peaks over thresholds modelling with multivariate generalized Pareto distributions

Anna Kiriliouk, Holger Rootzen, Johan Segers and Jennifer Wadsworth

2016039: Point processes in a metric space

Yuwei Zhao

2016038: Asymptotics for High–Dimensional Covariance Matrices and Quadratic Forms with Applications to the Trace Functional and Shrinkage

Ansgar Steland and Rainer von Sachs

2016037: Goodness-of-t tests for the cure rate in a mixture cure model

Ursula Muller and Ingrid Van Keilegom

2016036: An Almost Closed Form Estimator for the EGARCH model

Christian Hafner and Oliver Linton

2016035: A simple model for now-casting volatility series

Jörg Breitung and Christian Hafner

2016034: Weak Diffusion Limits of Dynamic Conditional Correlation Models

Christian Hafner, Sébastien Laurent and Francesco Violante

2016033: ASCA+ and APCA+: extensions of ASCA and APCA in the analysis of unbalanced multifactorial designs

Michel Thiel, Baptiste Feraud and Bernadette Govaerts

2016032: The Empirical Beta Copula

Johan Segers, Masaaki Sibuya and Hideatsu Tsukahara

2016031: Goodness-of-fit tests in semiparametric transformation models using the integrated regression function

Benjamin Colling and Ingrid Van Keilegom

2016030: Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development

Michel Denuit and Julien Trufin

2016029: Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance

Michel Denuit and Julien Trufin

2016028: Robust frontier estimation from noisy data: a Tikhonov regularization approach

Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar

2016027: Nonparametric Estimation of Efficiency in the Presence of Environmental Variables

Cinzia Daraio, Leopold Simar and Paul Wilson

2016026: A semiparametric and location-shift copula-based mixture model

Gildas Mazo

2016025: Solvency measurement for defined benefits pension schemes

Pierre Devolder and Habiba Tassa

2016024: Asymptotic Theory for Aggregate Efficiency

Leopold Simar and Valentin Zelenyuk

2016023: Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Pierre Devolder and Adrien Lebegue

2016022: Portfolio Selection in a Multi-Input Multi-Output Setting:a Simple Monte-Carlo-FDH Algorithm

Nicolas Nalpas, Leopold Simar and Anne Vanhems

2016021: Bias-corrected condence intervals in a class of linear inverse problems

Jean-Pierre Florens, Joel Horowitz and Ingrid Van Keilegom

2016020: Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials

Giulia Marcon, Simone Padoan, Philippe Naveau, Pietro Muliere and Johan Segers

2016019: Marginal standardization of upper semicontinuous processes with application to max-stable processes

Anne Sabourin and Johan Segers

2016018: Multivariate peaks over thresholds models

Holger Rootzen, Johan Segers and Jenny Wadsworth