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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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

2014051: Parametric conditional variance estimation in location-scale models with censored data

Cedric Heuchenne and Geraldine Laurent

2014050: Nonparametric regression with cross-sectional data: an alternative to conditional product-limit estimators

Cedric Heuchenne and Geraldine Laurent

2014049: Global Dependence and Productivity: A Robust Nonparametric World Frontier Analysis

Camilla Mastromarco and Leopold Simar

2014048: Max-Factor individual risk models with application to credit portfolios

Michel Denuit, Anna Kiriliouk and Johan Segers

2014047: Heteroscedastic semiparametric transformation models: estimation and testing for validity

Natalie Neumeyer, Hohsuk Noh and Ingrid Van Keilegom

2014046: A simple model for now-casting volatility series

Jörg Breitung and Christian Hafner

2014045: Stochastic approximations In CBD mortality projection models

Kock Yed Ake Samuel Gbari and Michel Denuit

2014044: Nonparametric estimation of extremal dependence

Anna Kiriliouk, Johan Segers and Michal Warchol

2014043: Semi-parametric estimation in a single-index model with endogenous variables

M. Birke, S. van Bellegem and I. van Keilegom

2014042: Tests for the equality of conditional variance functions in nonparametric regression

Juan Carlos Pardo-Fernandez, Maria Dolores Jimenez Gamero and Anouar El Ghouch

2014041: Variable selection in a flexible parametric mixture cure model with interval-censored data

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

2014040: A separation theorem for the weak S-Convex Orders

Michel Denuit, Liqun Liu and Jack Meyer

2014039: Estimation and approximation in nonlinear dynamic systems using quasilinearization

Gianluca Frasso, Jonathan Jaeger and Philippe Lambert

2014038: Automatic balancing mechanisms for Notional Defined Contribution Accounts in the presence of uncertainty

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

2014037: Testing parametric models in linear-directional regression

Eduardo Garcia Portugues, Ingrid Van Keilegom, Rosa M. Crujeiras and Wenceslao Gonzales-Manteiga

2014036: Prudence, Diversification and Optimal Portfolios

M. Denuit and Eeckhoudt L.

2014035: Longevity-Contingent Deferred Life Annuities

Michel Denuit, Steven Haberman and Arthur E. Renshaw

2014034: Inference in a Survival Cure Model with Mismeasured Covariates using a SIMEX Approach

Aurelie Bertrand, Catherine Legrand, Raymond J. Carroll, Christophe de Meester de Ravenstein and Ingrid Van Keilegom

2014033: Statistical treatment of 2D-NMR COSY spectra: data preparation, clustering-based repeatability evaluation and comparison with 1H-NMR

Baptiste Feraud, Bernadette Govaerts, Michel Verleysen and Pascal de Tullio