Insurance and Financial Risk


Journal Articles


1. Bazgour, T.; Heuchenne, Cédric; Sougne, D. Conditional asset allocation: does market wide liquidity matter?. In: Journal of Empirical Finance, Vol. (to appear), p. n/a-n/a. (Soumis). http://hdl.handle.net/2078.1/171440

2. Beretta, Alessandro; Heuchenne, Cédric. Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures. In: Journal of Applied Statistics, Vol. 46, no. 9, p. 1529-1549 (2019). doi:10.1080/02664763.2018.1554627 (Accepté/Sous presse). http://hdl.handle.net/2078.1/208979

3. Colling, Benjamin; Heuchenne, Cédric; Samb, Rawane; Van Keilegom, Ingrid. Estimation of the Error Density in a Semiparametric Transformation Model. In: Annals of the Institute of Statistical Mathematics, Vol. 67, p. 1-18 (2015). doi:10.1007/s10463-013-0441-x. http://hdl.handle.net/2078.1/142815

4. Denuit, Michel; Kiriliouk, Anna; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006. http://hdl.handle.net/2078.1/159060

5. Denuit, Michel; Legrand, Catherine. Risk classification in life and health insurance: extension to continuous covariates. In: European Actuarial Journal, Vol. 8, no.1, p. 245-255 (2018). doi:10.1007/s13385-018-0171-9. http://hdl.handle.net/2078.1/199778

6. Faraz, Alireza; Celano, Giovanni; Saniga, Erwin; Heuchenne, Cédric; Fichera , Sergio. The variable parameters T ^{2} chart with run rules. In: Statistical Papers, Vol. 55, no. 4, p. 933-950 (2014). doi:10.1007/s00362-013-0537-7. http://hdl.handle.net/2078.1/142811

7. Faraz, Alireza; Chalaki, Kamyar; Saniga, Erwin; Heuchenne, Cédric. The Robust Economic Statistical Design of the Hotelling’s T^2 Chart. In: Communications in Statistics: Theory and Methods, Vol. 45, no. 23, p. 6989-7001 (2016). doi:10.1080/03610926.2014.972574 (Accepté/Sous presse). http://hdl.handle.net/2078.1/155354

8. Faraz, Alireza; Heuchenne, Cédric. A simple method for designing Shewhart and S2 control charts to guarantee the in-control performance. In: Journal of Quality Technology : a quarterly journal of methods, applications and related topics, Vol. (to appear), p. n/a-n/a. (Soumis). http://hdl.handle.net/2078.1/171437

9. Faraz, Alireza; Heuchenne, Cédric; Saniga, Erwin. An exact method for designing Shewhart and S2 control charts to guarantee in-control performance. In: International Journal of Production Research, Vol. 56, no.7, p. 2570-2584 (2018). doi:10.1080/00207543.2017.1384580. http://hdl.handle.net/2078.1/207879

10. Faraz, Alireza; Heuchenne, Cédric; Saniga, Erwin. The np Chart with Guaranteed In-control Average Run Lengths. In: Quality and Reliability Engineering International, Vol. 33, no.5, p. 1057-1066 (2017). doi:10.1002/qre.2091. http://hdl.handle.net/2078.1/207881

11. Faraz, Alireza; Saniga, Erwin; Heuchenne, Cédric. Shewhart Control Charts for Monitoring Reliability with Weibull Lifetimes. In: Quality and Reliability Engineering International, Vol. 31, no. 8, p. 1565-1575 (2015). doi:10.1002/qre.1692. http://hdl.handle.net/2078.1/155337

12. Faraz, Alireza; Woodall, William H.; Heuchenne, Cédric. Guaranteed conditional performance of the S^2 control chart with estimated parameters. In: International Journal of Production Research, Vol. 53, no.14, p. 4405-4413 (2015). doi:10.1080/00207543.2015.1008112. http://hdl.handle.net/2078.1/171427

13. Hambuckers, J.; Heuchenne, Cédric. Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach. In: Journal of Forecasting, Vol. 35, no. 4, p. 347-372 (2016). doi:10.1002/for.2380. http://hdl.handle.net/2078.1/171439

14. Hambuckers, Julien; Heuchenne, Cédric. A robust statistical approach to select adequate error distributions for financial returns. In: Journal of Applied Statistics, Vol. 44, no. 1, p. 137-161 (2017). doi:10.1080/02664763.2016.1165803. http://hdl.handle.net/2078.1/180485

15. Heuchenne, Cédric; Laurent, Géraldine. Parametric conditional variance estimation in location-scale models with censored data. In: Electronic Journal of Statistics, Vol. 11, no.1, p. 148-176 (2017). doi:10.1214/16-EJS1139. http://hdl.handle.net/2078.1/183983

16. Heuchenne, Cédric; Laurent, Stéphane; Legrand, Catherine; Van Keilegom, Ingrid. Likelihood-Based Inference for Semi-Competing Risks. In: Communications in Statistics - Simulation and Computation, Vol. 43, no. 5, p. 1112-1132 (2014). doi:10.1080/03610918.2012.725495. http://hdl.handle.net/2078.1/139420

17. Heuchenne, Cédric; Samb, Rawane; Van Keilegom, Ingrid. Estimating the error distribution in semiparametric transformation models. In: Electronic Journal of Statistics, Vol. 9, no.2, p. 2391-2419 (2015). doi:10.1214/15-EJS1057. http://hdl.handle.net/2078.1/168074

18. Manteiga, Wenceslao González; Heuchenne, Cédric; Sellero, César Sánchez; Beretta, Alessandro. Goodness-of-fit tests for censored regression based on artificial data points. In: TEST, Vol. to appear (Accepted author version posted online: 04 July 2019) (2019). doi:10.1007/s11749-019-00662-6 (Accepté/Sous presse). http://hdl.handle.net/2078.1/218813

19. Nguyen, Huu Du; Tran, Kim Phuc; Heuchenne, Cédric. Monitoring the ratio of two normal variables using variable sampling interval exponentially weighted moving average control charts. In: Quality and Reliability Engineering International, Vol. 35, p. 439-460 (2019). doi:10.1002/qre.2412. http://hdl.handle.net/2078.1/207880

20. Tran, Kim Phuc; Heuchenne, Cédric; Balakrishnan, Narayanaswamy. On the performance of coefficient of variation charts in the presence of measurement errors. In: Quality and Reliability Engineering International, Vol. 35, p. 329-350 (2019). doi:10.1002/qre.2402; 10.1002/qre.2402. http://hdl.handle.net/2078.1/207878


Book Chapters


1. Devolder, Pierre; Piscopo, Gabriella. Solvency Analysis of defined benefit pension schemes. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance , Springer International Publishing: Switzerland, 2014, p. 141-150. 978-3-319-02499-8. doi:10.1007/978-3-319-02499-8. http://hdl.handle.net/2078.1/152639


Working Papers


1. Beretta, Alessandro; Heuchenne, Cédric. Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures (xxx), 2018. 20 p. http://hdl.handle.net/2078.1/209024

2. Faraz, Alireza; Heuchenne, Cédric; Saniga, Erwin. The np Chart With Guaranteed In-control Average Run Lengths (xxx), 2017. 17 p. http://hdl.handle.net/2078.1/209029

3. Faraz, Alireza; Woodall, William; Heuchenne, Cédric. Guaranteed conditional performance of the S^2 control chart with estimated parameters (xxx), 2015. http://hdl.handle.net/2078.1/157628

4. Nguyen, Huu Du; Tran, Kim Phuc; Heuchenne, Cédric. Monitoring the ratio of two normal variables using variable sampling interval exponentially weighted moving average control charts (xxx), 2018. 29 p. http://hdl.handle.net/2078.1/209026

5. Tran, Kim Phuc; Heuchenne, Cédric; Balakrishnan, Narayanaswamy. On the Performance of Coefficient of Variation Charts in the Presence of Measurement Errors (xxx), 2018. 35 p. http://hdl.handle.net/2078.1/209027