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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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

2016017: Radial-angular decomposition of regularly varying time series in star-shaped metric spaces

Johan Segers, Yuwei Zhao and Thomas Meinguet

2016016: Modeling serial extremal dependence

Richard Davis, Drees Holger, Johan Segers and Michal Warchol

2016015: Adaptive non-parametric instrumental regression in the presence of dependence

Nicolas Asin and Jan Johannes

2016014: Diagnostic checks in mixture cure models with interval-censoring

Sylvie Scolas, Catherine Legrand, Abderrahim Oulhaj and Anouar El Ghouch

2016013: Functional mixed effects wavelet estimation for spectra of replicated time series

Van Vinh Chau and Rainer von Sachs

2016012: Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death

Kock Yed Ake Samuel Gbari, Michel Poulain, Luc Dal and Michel Denuit

2016011: Parametrically guided local quasi-likelihood with censored data

Majda Talamakrouni, Anouar El Ghouch and Ingrid Van Keilegom

2016010: Black grouse males do not modulate their lekking behaviour according to their neighbour’s kinship

Christophe Lebigre, Catherine Timmermans and Carl Soulsbury

2016009: Semiparametric Copula Quantile Regression for Complete or Censored Data

Mickael De Backer, Anouar El Ghouch and Ingrid Van Keilegom

2016008: Hybrid Loss Development Modelling in P&C Insurance with an Application to Motor Third Party Liability

Michel Denuit and Julien Trufin

2016007: Adaptive non-parametric estimation in the presence of dependence

Nicolas Asin and Jan Johannes

2016006: Robustness of estimation methods in a survival cure model with mismeasured covariates

Aurelie Bertrand, Catherine Legrand, Daniel Leonard and Ingrid Van Keilegom

2016005: On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison

Nathan Uyttendaele

2016004: Building conditionally dependent parametric one-factor copulas

Gildas Mazo and Nathan Uyttendaele

2016003: On the Maximum Likelihood Estimator for the Generalized Extreme-Value Distribution

Axel Bucher and Johan Segers

2016002: A continuous updating weighted least squares estimator of tail dependence in high dimensions

John Einmahl, Anna Kiriliouk and Johan Segers

2016001: Assessing causality in clinical trials, A Sure Outcome of Random Events (SORE) Model

Michel Mouchart, Andre Bouckaert and Guillaume Wunsch

2015028: An augmented Taylor rule for the Federal Reserve’s response to asset prices

Christian Hafner and Alexandre Lauwers

2015027: The effect of additive outliers on a fractional unit root test

Christian Hafner and Arie Preminger