Latest published Articles


Journal Articles


1. Denuit, Michel; Trufin, Julien. Generalization error for Tweedie models: decomposition and error reduction with bagging. In: European Actuarial Journal, Vol. 11, p. 325-331 (2021). doi:10.1007/s13385-021-00265-2. http://hdl.handle.net/2078.1/249142

2. Leluc, Rémi; Portier, François; Segers, Johan. Control variate selection for Monte Carlo integration. In: Statistics and Computing, Vol. 31, no. 50 (2021). doi:10.1007/s11222-021-10011-z. http://hdl.handle.net/2078.1/248899

3. Kneip, Alois; Simar, Léopold; Wilson, Paul W. Inference in Dynamic, Nonparametric Models of Production: Central Limit Theorems for Malmquist Indices. In: Econometric Theory, Vol. 37, no.3, p. 537-572 (2021). doi:10.1017/s0266466620000237. http://hdl.handle.net/2078.1/248896

4. Ngugnie Diffouo, Pauline; Devolder, Pierre. Design of risk sharing for risk-linked annuities. In: International Journal of Financial Engineering, , p. 2150021 (2021). doi:10.1142/s2424786321500213. http://hdl.handle.net/2078.1/248895

5. Denuit, Michel; Robert, Christian Y. Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models. In: Risk Management and Insurance Review, Vol. 24, no.2, p. 181-205 (2021). doi:10.1111/rmir.12180. http://hdl.handle.net/2078.1/248773

6. Denuit, Michel; Robert, Christian Y. Stop-loss protection for a large P2P insurance pool. In: Insurance: Mathematics and Economics, Vol. 100, p. 210-233 (2021). doi:10.1016/j.insmatheco.2021.05.007. http://hdl.handle.net/2078.1/248771

7. Devolder, Pierre; Degoli, Maria-Cristina. Les enjeux et les perspectives de la pension à points à la lumière de l'expérience belge. In: Droit Social, Vol. 5, no. 5, p. 413-421 (2021). http://hdl.handle.net/2078.1/248359

8. Bettonville, Carole; d'Oultremont, Louise; Denuit, Michel; Trufin, Julien; Van Oirbeek, Robin. Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model. In: Scandinavian Actuarial Journal, Vol. 2021, no.5, p. 380-407 (2021). doi:10.1080/03461238.2020.1848912. http://hdl.handle.net/2078.1/246704

9. Bibal, Adrien; Marion, Rebecca; von Sachs, Rainer; Frénay, Benoît. BIOT: Explaining Multidimensional Nonlinear MDS Embeddings using the Best Interpretable Orthogonal Transformation. In: Neurocomputing, Vol. 453, p. 109-118 (2021). doi:10.1016/j.neucom.2021.04.088 (Accepté/Sous presse). http://hdl.handle.net/2078/246070

10. Hainaut, Donatien. A fractional multi-states model for insurance. In: Insurance: Mathematics and Economics, Vol. 98, p. 120-132 (2021). doi:10.1016/j.insmatheco.2021.02.004 (Accepté/Sous presse). http://hdl.handle.net/2078.1/245446

11. Deelstra, Griselda; Devolder, Pierre; Melis, Roberta. Optimal annuitisation in a deterministic financial environment. In: Decisions in Economics and Finance, Vol. 44, p. 161-175 (2021). doi:10.1007/s10203-020-00316-5. http://hdl.handle.net/2078.1/245441

12. Devolder, Pierre. Propositions de réforme des retraites publiques en Belgique, Principes et instruments. In: Revue de l'OFCE : observations et diagnostics économiques, Vol. 170, p. 85-104 (2020). http://hdl.handle.net/2078.1/245436

13. Fall, François Seck; Tchuigoua, Hubert Tchakoute; Vanhems, Anne; Simar, Léopold. Gender effect on microfinance social efficiency: A robust nonparametric approach. In: European Journal of Operational Research, Vol. 295, no. 2, p. 744-757 (2021). doi:10.1016/j.ejor.2021.03.020. http://hdl.handle.net/2078.1/244686

14. Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. Quality as a Latent Heterogeneity Factor in the Efficiency of Universities. In: Economic Modelling, Vol. 99, no. June 2021, p. 105485 (2021). doi:10.1016/j.econmod.2021.03.004. http://hdl.handle.net/2078.1/244684

15. Mastromarco, Camilla; Simar, Léopold; Zelenyuk, Valentin. Predicting recessions with a frontier measure of output gap: an application to Italian economy. In: Empirical Economics, Vol. 60, p. 2701–2740 (2021). doi:10.1007/s00181-021-02029-z. http://hdl.handle.net/2078.1/244682

16. Mastromarco, Camilla; Simar, Léopold. Latent heterogeneity to evaluate the effect of human capital on world technology frontier. In: Journal of Productivity Analysis, Vol. 55, p. 71–89 (2021). doi:10.1007/s11123-021-00597-x. http://hdl.handle.net/2078.1/244680

17. Mordant, Gilles; Segers, Johan. Maxima and near-maxima of a Gaussian random assignment field. In: Statistics & Probability Letters, Vol. 173, no. June 2021, p. 109087 (2021). doi:10.1016/j.spl.2021.109087 (Accepté/Sous presse). http://hdl.handle.net/2078.1/244432

18. Pechon, Florian; Denuit, Michel; Trufin, Julien. Home and Motor insurance joined at a household level using multivariate credibility. In: Annals of Actuarial Science, Vol. 15, no.1, p. 82-114 (2021). doi:10.1017/s1748499520000160 (Accepté/Sous presse). http://hdl.handle.net/2078.1/244116

19. Thiel, Michel; Sauwen, Nicolas; Khamiakova, Tastiana; Maes, Tor; Govaerts, Bernadette. Comparison of chemometrics strategies for the spectroscopic monitoring of active pharmaceutical ingredients in chemical reactions. In: Chemometrics and Intelligent Laboratory Systems, Vol. 211, p. 104273 (2021). doi:10.1016/j.chemolab.2021.104273 (Accepté/Sous presse). http://hdl.handle.net/2078.1/243868

20. Hallin, Marc; Mordant, Gilles; Segers, Johan. Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance. In: Electronic Journal of Statistics, Vol. 15, no. 1, p. 1328-1371 (2021). doi:10.1214/21-EJS1816. http://hdl.handle.net/2078.1/243715

21. Asenova, Stefka Kirilova; Mazo, Gildas; Segers, Johan. Inference on extremal dependence in the domain of attraction of a structured Hüsler–Reiss distribution motivated by a Markov tree with latent variables. In: Extremes, Vol. 24, p. 461-500 (2021). doi:10.1007/s10687-021-00407-5. http://hdl.handle.net/2078.1/243714

22. Einmahl, John H. J.; Segers, Johan. Empirical tail copulas for functional data. In: Annals of Statistics, , p. to appear (2021). (Accepté/Sous presse). http://hdl.handle.net/2078.1/243712

23. Hainaut, Donatien. An Actuarial Approach for Modeling Pandemic Risk. In: Risks, Vol. 9, no. 1 (2021). doi:10.3390/risks9010003. http://hdl.handle.net/2078.1/243707

24. Beyene, Kassu Mehari; El Ghouch, Anouar. Smoothed time‐dependent receiver operating characteristic curve for right censored survival data. In: Statistics in Medicine, Vol. 39, no.24, p. 3373-3396 (2020). doi:10.1002/sim.8671. http://hdl.handle.net/2078.1/242815

25. Soetewey, Antoine; Legrand, Catherine; Denuit, Michel; Silversmit, Geert. Waiting period from diagnosis for mortgage insurance issued to cancer survivors. In: European Actuarial Journal, Vol. 11, p. 135-160 (2021). doi:10.1007/s13385-020-00254-x. http://hdl.handle.net/2078.1/241429

26. Cantagallo, Eva; De Backer, Mickaël; Kicinski, Michal; Ozenne, Brice; Collette, Laurence; Legrand, Catherine; Buyse, Marc; Péron, Julien. A new measure of treatment effect in clinical trials involving competing risks based on generalized pairwise comparisons. In: Biometrical Journal, Vol. 63, no. 2, p. 272-288 (2020). doi:10.1002/bimj.201900354. http://hdl.handle.net/2078.1/241426

27. Denuit, Michel; Robert, Christian Y. From risk sharing to pure premium for a large number of heterogeneous losses. In: Insurance: Mathematics and Economics, Vol. 96, no. January 2021, p. 116-126 (2021). doi:10.1016/j.insmatheco.2020.11.006. http://hdl.handle.net/2078.1/240685

28. Devolder, Pierre; Domínguez-Fabián, Inmaculada. Thinking in Vertical: A Practical Application of the Two-Stage Pension System in Spain. In: Sustainability, Vol. 12, no.23, p. 9928 (2020). doi:10.3390/su12239928. http://hdl.handle.net/2078.1/240682

29. Zeddouk, Fadoua; Devolder, Pierre. Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework. In: Risks, Vol. 8, no. 4, p. 121 (2020). doi:10.3390/risks8040121. http://hdl.handle.net/2078.1/240677

30. Denuit, Michel. Size-Biased Risk Measures of Compound Sums. In: North American Actuarial Journal, Vol. 24, no.4, p. 512-532 (2020). doi:10.1080/10920277.2019.1676787. http://hdl.handle.net/2078.1/239906

31. Bocart, Fabian; Ghysels, Eric; Hafner, Christian. Monthly Art Market Returns. In: Journal of Risk and Financial Management, Vol. 13, no.5, p. 100 (2020). doi:10.3390/jrfm13050100. http://hdl.handle.net/2078.1/238816

32. Hafner, Christian. The Spread of the Covid-19 Pandemic in Time and Space. In: International Journal of Environmental Research and Public Health, Vol. 17, no.11, p. 3827 (2020). doi:10.3390/ijerph17113827. http://hdl.handle.net/2078.1/238815

33. Hafner, Christian; Linton, Oliver; Tang, Haihan. Estimation of a multiplicative correlation structure in the large dimensional case. In: Journal of Econometrics, Vol. 217, no.2, p. 431-470 (2020). doi:10.1016/j.jeconom.2019.12.012. http://hdl.handle.net/2078.1/238812

34. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. To appear. doi:10.1080/07350015.2019.1691564 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238811

35. Hafner, Christian; Herwartz, Helmut; Maxand, Simone. Identification of structural multivariate GARCH models. In: Journal of Econometrics, (2020). doi:10.1016/j.jeconom.2020.07.019 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238805

36. Njike Leunga, Charles Guy; Hainaut, Donatien. Interbank credit risk modelling with self-exciting jump processes. In: International Journal of Theoretical and Applied Finance, Vol. 23, no.6, p. 2050039 (2020). doi:10.1142/s0219024920500399. http://hdl.handle.net/2078.1/238375

37. Denuit, Michel. Investing in your own and peers’ risks: the simple analytics of P2P insurance. In: European Actuarial Journal, Vol. 10, no.2, p. 335-359 (2020). doi:10.1007/s13385-020-00238-x. http://hdl.handle.net/2078.1/238370

38. Devolder, Pierre; Levantesi, Susanna; Menzietti, Massimiliano. Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system. In: Annals of Operations Research, Vol. 299, p. 765-795 (2021). doi:10.1007/s10479-020-03819-x (Accepté/Sous presse). http://hdl.handle.net/2078.1/238305

39. Segers, Johan. One- versus multi-component regular variation and extremes of Markov trees. In: Advances in Applied Probability, Vol. 52, no.3, p. 855-878 (2020). doi:10.1017/apr.2020.22. http://hdl.handle.net/2078.1/238301

40. Molenberghs, Geert; Buyse, Marc; Abrams, Steven; Hens, Niel; Beutels, Philippe; Faes, Christel; Verbeke, Geert; Van Damme, Pierre; Goossens, Herman; Neyens, Thomas; Herzog, Sereina; Theeten, Heidi; Pepermans, Koen; Abad, Ariel Alonso; Van Keilegom, Ingrid; Speybroeck, Niko; Legrand, Catherine; De Buyser, Stefanie; Hulstaert, Frank. Infectious diseases epidemiology, quantitative methodology, and clinical research in the midst of the COVID-19 pandemic: Perspective from a European country. In: Contemporary Clinical Trials, Vol. 99, p. 106189 (2020). doi:10.1016/j.cct.2020.106189. http://hdl.handle.net/2078.1/237498

41. Denuit, Michel; Lu, Yang. Wishart‐gamma random effects models with applications to nonlife insurance. In: Journal of Risk and Insurance, Vol. 88, no. 2, p. 443-481 (2021). doi:10.1111/jori.12327. http://hdl.handle.net/2078.1/235873

42. Denuit, Michel; Robert, Christian Y. Large-Loss Behavior of Conditional Mean Risk Sharing. In: ASTIN Bulletin, Vol. 50, no.3, p. 1093-1122 (2020). doi:10.1017/asb.2020.23. http://hdl.handle.net/2078.1/235799

43. Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter. VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD. In: ASTIN Bulletin, Vol. 50, no.3, p. 709-742 (2020). doi:10.1017/asb.2020.25. http://hdl.handle.net/2078.1/235797

44. Devolder, Pierre. Une alternative à la pension à points : le compte individuel pension en euros. In: Regards économiques, Vol. 150, no.septembre, p. 1-10 (2019). http://hdl.handle.net/2078.1/235794

45. Zeddouk, Fadoua; Devolder, Pierre. Mean reversion in stochastic mortality: why and how?. In: European Actuarial Journal, no. 2/2020 (2020). doi:10.1007/s13385-020-00237-y. http://hdl.handle.net/2078.1/235792

46. Ngugnie Diffouo, Pauline; Devolder, Pierre. Longevity Risk Measurement of Life Annuity Products. In: Risks, Vol. 8, no. 1, p. 31 (2020). doi:10.3390/risks8010031. http://hdl.handle.net/2078.1/235790

47. Devolder, Pierre; de Valeriola, Sébastien. Between DB and DC: optimal hybrid PAYG pension schemes. In: European Actuarial Journal, Vol. 2, p. 463-482 (2019). http://hdl.handle.net/2078.1/235789

48. Pechon, Florian; Trufin, Julien; Denuit, Michel. Preliminary selection of risk factors in P&C ratemaking. In: Variance : advancing the science of risk, Vol. 13, no.1, p. 124-14 (2020). http://hdl.handle.net/2078.1/231272

49. Féraud, Baptiste; Martineau, Estelle; Leenders, Justine; Govaerts, Bernadette; de Tullio, Pascal; Giraudeau, Patrick. Combining rapid 2D NMR experiments with novel pre-processing workflows and MIC quality measures for metabolomics. In: Metabolomics, Vol. 16, no.4 (2020). doi:10.1007/s11306-020-01662-6. http://hdl.handle.net/2078.1/230906

50. Martin, Manon; Govaerts, Bernadette. LiMM‐PCA: Combining ASCA+ and linear mixed models to analyse high‐dimensional designed data. In: Journal of Chemometrics, Vol. 34, no.6 (2020). doi:10.1002/cem.3232. http://hdl.handle.net/2078.1/230905

51. De Backer, Mickaël; El Ghouch, Anouar; Van Keilegom, Ingrid. Linear Censored Quantile Regression: A Novel Minimum‐Distance Approach. In: Scandinavian Journal of Statistics, Vol. 47, no. 4, p. 1275-1306 (2020). doi:10.1111/sjos.12475. http://hdl.handle.net/2078.1/230891

52. Hainaut, Donatien; Denuit, Michel. Wavelet-based feature extraction for mortality projection. In: ASTIN Bulletin, Vol. 50, no. 3, p. 675-707 (2020). doi:10.1017/asb.2020.18. http://hdl.handle.net/2078.1/230890

53. Marion, Rebecca; Govaerts, Bernadette; von Sachs, Rainer. AdaCLV for Interpretable Variable Clustering and Dimensionality Reduction of Spectroscopic Data. In: Chemometrics and Intelligent Laboratory Systems, Vol. 206 (2020). doi:10.1016/j.chemolab.2020.104169. http://hdl.handle.net/2078.1/229602

54. Simar, Léopold; Wilson, Paul. Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits. In: Journal of Productivity Analysis, Vol. 53, p. 287–303 (2020). http://hdl.handle.net/2078.1/229044

55. Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Robustified expected maximum production frontiers. In: Econometric Theory, Vol. 37, no. 2, p. 346-387 (2021). doi:10.1017/S0266466620000171. http://hdl.handle.net/2078.1/229043

56. Simar, Léopold; Zelenyuk, Valentin. Improving Finite Sample Approximation by Central Limit Theorems for DEA and FDH efficiency scores. In: European Journal of Operational Research, Vol. 284, no. 1 August 2020, p. 1002-1015 (2020). doi:10.1016/j.ejor.2020.01.036. http://hdl.handle.net/2078.1/229042

57. Pircalabelu, Eugen; Claeskens, Gerda. Community-Based Group Graphical Lasso. In: Journal of Machine Learning Research, Vol. 21, no. 64, p. 1-32 (2020). (Accepté/Sous presse). http://hdl.handle.net/2078.1/228780

58. Hainaut, Donatien; Leonenko, Nikolai. Option pricing in illiquid markets: a fractional jump-diffusion approach. In: journal of computational and applied mathematics, Vol. 381, p. 112995 (2021). ISBA Discussion Paper 2020/03. doi:10.1016/j.cam.2020.112995. http://hdl.handle.net/2078.1/227948

59. Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; von Sachs, Rainer. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. In: Journal of Econometrics, Vol. 222, no. 1, part B, p. 324-343 (2021). doi:10.1016/j.jeconom.2020.07.004. http://hdl.handle.net/2078.1/224107

60. Lambert, Philippe; Bremhorst, Vincent. Inclusion of time-varying covariates in cure survival models with an application in fertility studies. In: Journal of the Royal Statistical Society. Series A, Statistics in society, Vol. 183, no. 1, p. 333-354 (2020). doi:10.1111/rssa.12501. http://hdl.handle.net/2078.1/219491

61. Deresa, Negera Wakgari; Van Keilegom, Ingrid. Flexible parametric model for survival data subject to dependent censoring. In: Biometrical journal, Vol. 62, no. 1, p. 136-156 (2020). doi:10.1002/bimj.201800375. http://hdl.handle.net/2078.1/219467

62. Patilea, Valentin; Van Keilegom, Ingrid. A general approach for cure models in survival analysis. In: Annals of Statistics, Vol. 48, no. 4, p. 2323-2346 (2020). doi:10.1214/19-AOS1889. http://hdl.handle.net/2078.1/219466

63. Noh, Hohsuk; Van Keilegom, Ingrid. On relaxing the distributional assumption of stochastic frontier models. In: Journal of the Korean Statistical Society, Vol. 49, p. 1–14 (2020). doi:10.1007/s42952-019-00011-1. http://hdl.handle.net/2078.1/219446

64. Bravo, Francesco; Escanciano, Juan Carlos; Van Keilegom, Ingrid. Two-Step Semiparametric Empirical Likelihood Inference. In: Annals of Statistics, Vol. 48, no. 1, p. 1-26 (2020). doi:10.1214/18-AOS1788. http://hdl.handle.net/2078.1/219406

65. Delsol, Laurent; Van Keilegom, Ingrid. Semiparametric M-estimation with non-smooth criterion functions. In: Annals of the Institute of Statistical Mathematics, Vol. 72, p. 577-605 (2020). doi:10.1007/s10463-018-0700-y. http://hdl.handle.net/2078.1/219405

66. Schokkaert, Erik; Devolder, Pierre; Hindriks, Jean; Vandenbroucke, Frank. Towards an equitable and sustainable points system. A proposal for pension reform in Belgium. In: Journal of Pension Economics and Finance, Vol. 19, no. 1, p. 49-79 (2020). doi:10.1017/s1474747218000112. http://hdl.handle.net/2078.1/200754


Book Chapters


1. Bücher, Axel; El Ghouch, Anouar; Van Keilegom, Ingrid. Single-Index Quantile Regression Models for Censored Data. In: Advances in Contemporary Statistics and Econometrics , Springer, 2021, p. 177-196. 978-3-030-73248-6. xxx xxx. doi:10.1007/978-3-030-73249-3_10. http://hdl.handle.net/2078.1/249383

2. Kiriliouk, Anna; Segers, Johan; Tsukahara, Hideatsu. Resampling Procedures with Empirical Beta Copulas. In: Pioneering Works on Extreme Value Theory : SpringerBriefs in Statistics (SpringerBriefs in Statistics; xxx), Springer: (Singapore) Singapore, 2021, p. 27-53. 9789811607677. xxx xxx. doi:10.1007/978-981-16-0768-4_2. http://hdl.handle.net/2078.1/248767

3. Wunsch, Guillaume; Mouchart, Michel; Russo, Federica. La modélisation en sciences sociales : incertitudes et défis. In: Modèles : prévoir, comprendre, expliquer, interpréter, reproduire, trahir (Mémoires; xxx), Académie Royale de Belgique: Bruxelles, 2020, p. 165-183. 978-2-8031-0718-6. xxx xxx. http://hdl.handle.net/2078.1/238298

4. Govaerts, Bernadette; Francq, Bernard G.; Marion, Rebecca; Martin, Manon; Thiel, Michel. The Essentials on Linear Regression, ANOVA, General Linear and Linear Mixed Models for the Chemist. In: Comprehensive Chemometrics, Chemical and Biochemical Data Analysis , Elsevier, 2020, p. 431-463. 9780444641663. xxx xxx. doi:10.1016/b978-0-12-409547-2.14579-2. http://hdl.handle.net/2078.1/230895

5. Mastromarco, Camilla; Simar, Léopold; Wilson, Paul. Nonparametric Statistical Analysis of Production. In: The Palgrave Handbook of Economic Performance Analysis , Springer International Publishing, 2020, p. 301-381. 978-3-030-23726-4. xxx xxx. doi:10.1007/978-3-030-23727-1. http://hdl.handle.net/2078.1/229045


Books


1. Legrand, Catherine. Advanced Survival Models. Chapman and Hall/CRC Press, 2021. 9780429054167. 360 pages. http://hdl.handle.net/2078.1/245817

2. Denuit, Michel; Hainaut, Donatien; Trufin, Julien. Effective Statistical Learning Methods for Actuaries II : Tree-Based Methods and Extensions. Springer Nature Switzerland AG: Cham, Switzerland, 2020. 9783030575557. 228 pages. http://hdl.handle.net/2078.1/239911