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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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2022012: A dynamic conditional score model for the log correlation matrix

Christian Hafner and Linqi Wang

2022011: Semiparametric estimation and variable selection for single-index copula models

Bingduo Yang, Christian Hafner, Guannan Liu and Wei Long

2022010: Dynamic score driven independent component analysis

Christian Hafner and Helmut Herwartz

2022009: Panel stochastic frontier analysis with dependent error terms

Rachida El Mehdi and Christian Hafner

2022008: Time-Varying Mixture Copula Models with Copula Selection

Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu

2022007: High-dimensional Sufficient Dimension Reduction through principal projections

Eugen Pircalabelu and Andreas Artemiou

2022006: Peering ahead

Michel Denuit and Christian Robert

2022005: Nonparametric monitoring of sunspot number observations

Sophie Mathieu, Laure Lefèvre, Rainer von Sachs, Véronique Delouille, Christian Ritter and Frédéric Clette

2022004: Joint modeling of claim frequencies and behavioral signals in motor insurance

Alexandre Corradin, Michel Denuit, Marcin Detyniecki, Vincent Grari, Matteo Sammarco and Julien Trufin

2022003: Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model

Charles G. Njike Leunga and Donatien Hainaut

2022002: CDS Pricing with Fractional Hawkes Processes

John John Ketelbuters and Donatien Hainaut

2022001: Lévy Interest Rate Models with a Long Memory

Donatien Hainaut

2021057: Fast Bayesian inference using Laplace approximations in nonparametric double additive location-scale models with right- and interval-censored data

Philippe Lambert

2021056: Laplace approximations for fast Bayesian inference in generalized additive models based on P-splines

Oswaldo Gressani and Philippe Lambert

2021055: Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”

Michel Denuit

2021054: Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”

Michel Denuit

2021053: Measuring dependence between random vectors via optimal transport

Gilles Mordant and Johan Segers

2021052: Time and causality in the social sciences

Guillaume Wunsch, Federica Russo, Michel Mouchart and Renzo Orsi

2021051: Portfolio insurance under rough volatility and Volterra processes

Jean-Loup Dupret and Donatien Hainaut

2021050: Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]

Michel Denuit and Christian Y. Robert

2021049: Autocalibration and Tweedie-dominance for insurance pricing with machine learning

Michel Denuit, Arthur Charpentier and Julien Trufin

2021048: Testing for more positive expectation dependence with application to model comparison

Michel Denuit, Julien Trufin and Thomas Verdebout

2021047: Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy

Vanessa Hanna, Peter Hieber and Pierre Devolder

2021046: Moment generating function of non-Markov self-excited claims processes

Donatien Hainaut

2021045: Time-consistent evaluation of credit risk with contagion

John-John Ketelbuters and Donatien Hainaut

2021044: A new measure of mortality differentials based on precedence probability

Meitner Cadena and Michel Denuit

2021043: Inference for monotone single-index conditional means: A Lorenz regression approach

Cédric Heuchenne and Alexandre Jacquemain

2021042: Monitoring the coefficient of variation using variable sampling interval CUSUM control charts

Phuong Hanh Tran and Cédric Heuchenne

2021041: Monitoring Coefficient of Variation using One-Sided Run Rules control charts in the presence of Measurement Errors

Phuong Hanh Tran, Cédric Heuchenne, Huu Du Nguyen and Hélène Marie

2021040: Monitoring process variation using modified EWMA

Saghir, Aamir‭, ‬Aslam, Muhammad‭, ‬Faraz, Alireza‭, ‬Ahmad, Liaquat‭ and Cédric Heuchenne

2021039: On the performance of CUSUM control charts for monitoring the coefficient of variation with measurement errors

Kim Phuc Tran, Huu Du Nguyen, Phuong Hanh Tran and Cédric Heuchenne

2021038: How do volatility regimes affect the pricing of quality and liquidity in the stock market?

Tarik Bazgour, Cédric Heuchenne, Georges Hübner and Danielle Sougné

2021037: One-sided variable sampling interval EWMA control charts for monitoring the multivariate coefficient of variation in the presence of measurement errors

Quoc-Thông Nguyen, Vicent Giner-Bosch, Kim Duc Tran, Cédric Heuchenne and , E.A.

2021036: penPHcure: Variable Selection in Proportional Hazards Cure Model with Time-Varying Covariates

Alessandro Beretta and Cédric Heuchenne

2021035: Competing risks proportional-hazards cure model and generalized extreme value regression: an application to bank failures and acquisitions in the United States

Alessandro Beretta, Cédric Heuchenne and Marialuisa Restaino

2021034: The nonparametric location-scale mixture cure model

Justin Chown, Cédric Heuchenne and Ingrid Van Keilegom

2021033: Supplementary material for Estimation from cross-sectional data under a semiparametric truncation model

Cédric Heuchenne, Jacobo De uña Alvarez and Géraldine Laurent

2021032: Estimation from cross-sectional data under a semiparametric truncation model

Cédric Heuchenne, Jacobo De uña Alvarez and Géraldine Laurent

2021031: Coût réel pour l’Etat du deuxième pilier belge de pension pour salariés: l’approche actuarielle bouscule quelques à priori

Pierre Devolder

2021030: Progressive Pension Formula and Life Expectancy Heterogeneity

Keivan Diakite and Pierre Devolder

2021029: Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction

Michel Denuit and Christian Y. Robert

2021028: Graph informed sliced inverse regression

Eugen Pircalabelu and Andreas Artemiou

2021027: A lasso-type estimation for the Lorenz regression

Alexandre Jacquemain, Cédric Heuchenne and Eugen Pircalabelu

2021026: Single-Index Quantile Regression Models for Censored Data

Axel Bücher, Anouar El Ghouch and Ingrid Van Keilegom

2021025: Generalization error for Tweedie models: decomposition and error reduction with bagging

Michel Denuit and Julien Trufin

2021024: Control variate selection for Monte Carlo integration

Rémi Leluc, François Portier and Johan Segers

2021023: Inference in Dynamic, Nonparametric Models of Production: Central Limit Theorems for Malmquist Indices

Alois Kneip, Leopold Simar and Paul Wilson

2021022: Les enjeux et les perspectives de la pension à points à la lumière de l'expérience belge

Pierre Devolder and Maria-Cristina Degoli

2021021: Design of risk sharing for risk-linked annuities

Pauline Ngugnie Diffouo and Pierre Devolder

2021020: Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models

Michel Denuit and Christian Y. Robert