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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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

2015026: From Regulatory Life Tables to Stochastic Mortality Projections: The Exponential Decline Model

Michel Denuit and Julien Trufin

2015025: Fertility progression in Germany: An analysis using flexible nonparametric cure survival models

Vincent Bremhorst, Michaela Kreyenfeld and Philippe Lambert

2015024: On the weak convergence of the empirical conditional copula under a simplifying assumption

Francois Portier and Johan Segers

2015023: Maximum likelihood estimation for the Frechet distribution based on block maxima extracted from a time series

Axel Bucher and Johan Segers

2015022: Building a structural model: parameterization and structurality

M. Mouchart and Renzo Orsi

2015021: A simple model for now-casting volatility series

Jörg Breitung and Christian Hafner

2015020: Compositions of Conditional Risk Measures and Solvency Capital

Pierre Devolder and Adrien Lebegue

2015019: The issue of control in multivariate systems, A contribution of structural modelling

M. Mouchart, G. Wunsch and F. Russo

2015018: Testing the "Separability" Condition in Two-Stage Nonparametric Models of Production

Cinzia Daraio, Leopold Simar and Paul Wilson

2015017: A random locational M-estimation problem based on the L2-Wasserstein distance

Abdelaati Daouia and Ingrid Van Keilegom

2015016: Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference

Francesco Bravo, Juan Carlos Escanciano and Ingrid Van Keilegom

2015015: How to regress and predict in a Bland and Altman plot? Review and contribution based on tolerance intervals andcorrelated errors in variables models

Bernard G. Francq and Bernadette Govaerts

2015014: Nonparametric incidence and latency estimation in mixture cure models

Ana Lopez-Cheda , Ricardo Cao, Maria Amalia Jacome and Ingrid Van Keilegom

2015013: Semi-parametric accelerated hazard Relational models with applications to Mortality projections

Meitner Cadena and Michel Denuit

2015012: Efficiency and Bootstrap in the Promotion Time Cure Model

Francois Portier, Anouar El Ghouch and Ingrid Van Keilegom

2015011: Time-frequency analysis of locally stationary Hawkes processes

Francois Roueff, Rainer von Sachs and Laure Sansonnet

2015010: Optimal mix between pay-as-you-go and funding in a multi-generational Overlapping Generations model

Jennifer Alonso Garcia and Pierre Devolder

2015009: Guarantee valuation in Notional Defined Contribution pension systems

Jennifer Alonso Garcia and Pierre Devolder

2015008: On the transferability of reserves in lifelong health insurance contracts

Jan Dhaene, Els Godecharle, Katrien Antonio and Michel Denuit

2015007: Simulation-based study comparing multiple imputation methods for non-monotone missing ordinal data in longitudinal settings

Anne-Francoise Donneau, Murielle Mauer, Philippe Lambert, Geert Molenberghs and Adelin Albert

2015006: The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach

Christian Hafner, Hans Manner and Leopold Simar

2015005: Nonparametric Transient Classification using Adaptive Wavelets

Melvin Varughese, Rainer von Sachs, Michael Stephanou and Bruce Bassett

2015004: Guaranteed conditional performance of the S^2 control chart with estimated parameters

Alireza Faraz, William Woodall and Cedric Heuchenne

2015003: Adaptive Bayesian estimation in indirect Gaussian sequence space models

Jan Johannes, Anna Simoni and Rudolf Schenk

2015002: Tail mutual exclusivity and Tail-VaR lower bounds

Ka Chung Cheung, Michel Denuit and Jan Dhaene

2015001: Asymptotic distribution-free tests for semiparametric regressions

Juan Carlos Escanciano, Juan Carlos Pardo-Fernandez and Ingrid Van Keilegom

2014056: Systemic risk and the solvency-liquidity nexus of banks

Diane Pierret

2014055: The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks

Jan Dhaene, Ben Stassen, Pierre Devolder and Michel Vellekoop

2014054: Model points and Tail-VaR in life insurance

Michel Denuit and Julien Trufin

2014053: Iterated VaR or CTE Measures: a False Good Idea?

Pierre Devolder and Adrien Lebegue

2014052: A new methodological approach for error distributions selection in Finance

Julien Hambuckers and Cedric Heuchenne