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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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 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

2014032: Non Parametric Instrumental Variables Estimation for Efficiency Frontier

Catherine Cazals, Frederique Feve, Jean-Pierre Florens and Leopold Simar

2014031: Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series

Ansgar Steland and Rainer von Sachs

2014030: Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series

Cristina Gorrostieta, Hernando Ombao and Rainer von Sachs

2014029: Multivariate Skew-Normal Individual Excess-of-Loss Reserving

Mathieu Pigeon and Michel Denuit

2014028: Nested Archimedean copulas: a new class of nonparametric tree structure estimators

Nathan Uyttendaele

2014027: Time Horizon and Solvency Capital within a Brownian Framework Partially Modulated by a Continuous-Time Markov Chain

Pierre Devolder and Adrien Lebegue

2014026: On the asymptotic distribution of the mean absolute deviation about the mean

Johan Segers

2014025: Rankings and university performance: a conditional multidimensional approach

Cinzia Daraio, Andrea Bonaccorsi and Leopold Simar

2014024: The copula-graphic estimator in censored nonparametric location-scale regression models

Aleksandar Sujica and Ingrid Van Keilegom

2014023: Nonparametric Robust Stochastic Frontier Analysis: a Tikhonov Regularization Approach

Jean-Pierre Florens and Leopold Simar

2014022: Statistics for Tail Processes of Markov Chains

Holger Drees, Johan Segers and Michal Warchol

2014021: An Evolutionary Credibility Model of Lee-Carter Type for Mortality Improvement Rates

Edo Schinzinger, Michel Denuit and Marcus Christiansen

2014020: Efficiency and economies of scale and scope in European universities: a directional distance approach

Andrea Bonaccorsi, Cinzia Daraio and Leopold Simar

2014019: Inflated discrete beta regression models for Likert and discrete rating scale outcomes

Cedric Taverne and Philippe Lambert

2014018: Hybrid Copula Estimators

Johan Segers