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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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2022031: Reconciling negative return skewness with positive time-varying risk premia

Dimitra Kyriakopoulou and Christian Hafner

2022030: Mortality credits within large survivor funds

Michel Denuit, Peter Hieber and Christian Y. Robert

2022029: Effect of anti-interleukin drugs in patients with COVID-19 and signs of cytokine release syndrome (COV-AID): a factorial, randomised, controlled trial

Jozefien Declercq, Karel F.A. Van Damme, Elisabeth De Leeuw, Bastiaan Maes, Xavier Wittebole, Catherine Legrand and E.A.,

2022028: Linear manifold modeling and graph estimation based on multivariate functional data with different coarseness scales

Eugen Pircalabelu and Gerda Claeskens

2022027: Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics

Donatien Hainaut

2022026: Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance

Michel Denuit, Jan Dhaene and Christian Y. Robert

2022025: Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses

Michel Denuit and Christian Y. Robert

2022024: Causality in Econometric Modeling: From Theory to Structural Causal Modeling

Renzo Orsi, Michel Mouchart and Guillaume Wunsch

2022023: Uniform concentration bounds for frequencies of rare events

Stéphane Lhaut, Anne Sabourin and Johan Segers

2022022: Impact of rough stochastic volatility models on long-term life insurance pricing

Jean-Loup Dupret, Jérôme Barbarin and Donatien Hainaut

2022021: Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses

Michel Denuit and Christian Y. Robert

2022020: Conditional mean risk sharing in the individual model with graphical dependencies

Michel Denuit and Christian Y. Robert

2022019: Semi-markov modeling for cancer insurance

Antoine Soetewey, Catherine Legrand, Michel Denuit and Geert Silversmit

2022018: Une pension légale sous forme d’un compte pension

Pierre Devolder and Jean Hindriks

2022017: Solvency measurement of life annuity products

Pauline Ngugnie Diffouo and Pierre Devolder

2022016: Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices

Joris Chau and Rainer von Sachs

2022015: Two-mode clustering through profiles of regions and sectors

Christian Haedo and Michel Mouchart

2022014: Collaborative Insurance with Stop-Loss Protection and Team Partitioning

Michel Denuit and Christian Y. Robert

2022013: Dynamic portfolio selection with sector-specific regularization

Christian Hafner and Linqi Wang

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