Latest published Articles


Journal Articles


1. 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

2. Hallin, Marc; Mordant, Gilles; Segers, Johan. Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance. In: Electronic Journal of Statistics, , p. to appear (2021). (Accepté/Sous presse). http://hdl.handle.net/2078.1/243715

3. 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, , p. to appear (2021). doi:10.1007/s10687-021-00407-5 (Accepté/Sous presse). http://hdl.handle.net/2078.1/243714

4. 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

5. Hainaut, Donatien. An Actuarial Approach for Modeling Pandemic Risk. In: Risks, Vol. 9, no.1, p. to appear (2021). doi:10.3390/risks9010003 (Accepté/Sous presse). http://hdl.handle.net/2078.1/243707

6. Soetewey, Antoine; Legrand, Catherine; Denuit, Michel; Silversmit, Geert. Waiting period from diagnosis for mortgage insurance issued to cancer survivors. In: European Actuarial Journal, Vol. To appear, p. Accepted: 3 November 2020. doi:10.1007/s13385-020-00254-x (Accepté/Sous presse). http://hdl.handle.net/2078.1/241429

7. 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. First published: 16 September 2020, p. 1-17 (2020). doi:10.1002/bimj.201900354 (Accepté/Sous presse). http://hdl.handle.net/2078.1/241426

8. 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.Available online 19 November 2020, p. 116-126 (2021). doi:10.1016/j.insmatheco.2020.11.006. http://hdl.handle.net/2078.1/240685

9. 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

10. 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

11. 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

12. 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

13. 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

14. 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

15. 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

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

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

18. 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

19. 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. To appear. doi:10.1007/s10479-020-03819-x (Accepté/Sous presse). http://hdl.handle.net/2078.1/238305

20. 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

21. Denuit, Michel; Lu, Yang. Wishart‐gamma random effects models with applications to nonlife insurance. In: Journal of Risk and Insurance, Vol. to appear, p. 39 (2020). doi:10.1111/jori.12327 (Accepté/Sous presse). http://hdl.handle.net/2078.1/235873

22. 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

23. 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

24. 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

25. Zeddouk, Fadoua; Devolder, Pierre. Mean reversion in stochastic mortality: why and how?. In: European Actuarial Journal, (2020). (Accepté/Sous presse). http://hdl.handle.net/2078.1/235792

26. 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

27. 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

28. 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

29. 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

30. 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

31. De Backer, Mickaël; El Ghouch, Anouar; Van Keilegom, Ingrid. Linear Censored Quantile Regression: A Novel Minimum‐Distance Approach. In: Scandinavian Journal of Statistics,. doi:10.1111/sjos.12475 (Accepté/Sous presse). http://hdl.handle.net/2078.1/230891

32. 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

33. 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

34. Simar, Léopold; Wilson, Paul. Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits. In: Journal of Productivity Analysis,. (Accepté/Sous presse). http://hdl.handle.net/2078.1/229044

35. Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Robustified expected maximum production frontiers. In: Econometric Theory, Vol. to appear. (Accepté/Sous presse). http://hdl.handle.net/2078.1/229043

36. 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. to appear. (Accepté/Sous presse). http://hdl.handle.net/2078.1/229042

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

38. Hainaut, Donatien; Leonenko, Nikolai. Option pricing in illiquid markets: a fractional jump-diffusion approach. In: journal of computational and applied mathematics, Vol. 381 (1/1/2021). ISBA Discussion Paper 2020/03. http://hdl.handle.net/2078.1/227948

39. Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; von Sachs, Rainer. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. In: The Journal of Econometrics, Vol. to appear, no. to appear, p. to appear (2020). doi:10.1016/j.jeconom.2020.07.004 (Accepté/Sous presse). http://hdl.handle.net/2078.1/224107

40. 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. 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

2. 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

3. 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. 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