LIDAM Publications in Statistics, Biostatistics and Actuarial Sciences

You will find below our latest publications (journal articles, book chapters, books) in statistics, biostatistics and actuarial sciences.

Journal Articles

1. Denuit, Michel; Robert, Christian Y. From risk reduction to risk elimination by conditional mean risk sharing of independent losses. In: Insurance: Mathematics and Economics, Vol. 108, p. 46-59 (2022). doi:10.1016/j.insmatheco.2022.11.003.

2. Lambert, Philippe. Nonparametric density estimation and risk quantification from tabulated sample moments. In: Insurance: Mathematics and Economics, Vol. 108, p. 177-189 (2023). doi:10.1016/j.insmatheco.2022.12.004.

3. Hafner, Christian; Herwartz, Helmut. Dynamic score driven independent component analysis. In: Journal of Business and Economic Statistics, (2022). doi:10.1080/07350015.2021.2013244 (Accepté/Sous presse).

4. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2022). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse).

5. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2022). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse).

6. Devolder, Pierre; Hindriks, Jean. Une pension légale sous forme d’un compte pension. In: Regards économiques, , no.Focus 28 (2022). doi:10.14428/regardseco2022.02.03.01.

7. Lhaut, Stéphane; Sabourin, Anne; Segers, Johan. Uniform concentration bounds for frequencies of rare events. In: Statistics & Probability Letters, Vol. 189, p. 109610 (2022). doi:10.1016/j.spl.2022.109610.

8. Mathieu, Sophie; Lefèvre, Laure; von Sachs, Rainer; Delouille, Véronique; Ritter, Christian; Clette, Frédéric. Nonparametric monitoring of sunspot number observations. In: Journal of Quality Technology, (2022). doi:10.1080/00224065.2022.2041376 (Accepté/Sous presse).

9. Orsi, Renzo; Mouchart, Michel; Wunsch, Guillaume. Causality in Econometric Modeling : From Theory to Structural Causal Modeling. In: Journal of Econometrics and Statistics, Vol. 2, no.1, p. 61-90 (2022).

10. Seck, Ndeye Arame; Denuit, Michel. Adaptive Splines for Continuous Features in Risk Assessment. In: CAS E-Forum, Vol. Summer (2022).

11. Denuit, Michel; Hieber, Peter; Robert, Christian Y. Mortality credits within large survivor funds. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 52, no.3, p. 813-834 (2022). doi:10.1017/asb.2022.13.

12. Hainaut, Donatien. Multivariate claim processes with rough intensities: properties and estimation. In: Insurance: Mathematics and Economics, Vol. 107, no.n/a/, p. 269-287 (2022). doi:10.1016/j.insmatheco.2022.08.010.

13. Hanna, Vanessa; Hieber, Peter; Devolder, Pierre. Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. In: Scandinavian Actuarial Journal, Vol. 2022, no. 5, p. 421-446 (2022). doi:10.1080/03461238.2021.1992001.

14. Wunsch, Guillaume; Russo, Federica; Mouchart, Michel; Orsi, Renzo. Time and causality in the social sciences. In: Time & Society, Vol. 31, no. 2, p. 177-204 (2022). doi:10.1177/0961463X211029488.

15. Ketelbuters, John John; Hainaut, Donatien. Time-consistent evaluation of credit risk with contagion. In: Journal of Computational and Applied Mathematics, Vol. 403, p. 113848 (2022). doi:10.1016/

16. Pircalabelu, Eugen; Claeskens, Gerda. Linear manifold modeling and graph estimation based on multivariate functional data with different coarseness scales. In: Journal of Computational and Graphical Statistics, (2022). doi:10.1080/10618600.2022.2108818 (Accepté/Sous presse).

17. Denuit, Michel; Robert, Christian. Peering ahead. In: The Actuary, , no.January-February, p. 38-39 (2022).

18. Denuit, Michel; Robert, Christian Y. Collaborative Insurance with Stop-Loss Protection and Team Partitioning. In: North American Actuarial Journal, Vol. 26, no.1, p. 143-160 (2022). doi:10.1080/10920277.2020.1855199.

19. Corradin, Alexandre; Denuit, Michel; Detyniecki, Marcin; Grari, Vincent; Sammarco, Matteo; Trufin, Julien. Joint modeling of claim frequencies and behavioral signals in motor insurance. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 52, no.1, p. 33-54 (2022). doi:10.1017/asb.2021.24.

20. Denuit, Michel; Dhaene, Jan; Robert, Christian Y. Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance. In: Journal of Risk and Insurance, Vol. 89, no.3, p. 615-667 (2022). doi:10.1111/jori.12385.

21. Denuit, Michel; Robert, Christian Y. Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses. In: Methodology and Computing in Applied Probability, Vol. 24, p. 1953-1985 (2022). doi:10.1007/s11009-021-09888-0.

22. Denuit, Michel; Robert, Christian Y. Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses. In: Methodology and Computing in Applied Probability, Vol. 24, p. 693-711 (2022). doi:10.1007/s11009-021-09881-7.

23. Dupret, Jean-Loup; Barbarin, Jérôme; Hainaut, Donatien. Impact of rough stochastic volatility models on long-term life insurance pricing. In: European Actuarial Journal, (2022). doi:10.1007/s13385-022-00317-1 (Accepté/Sous presse).

24. Denuit, Michel; Robert, Christian Y. Conditional mean risk sharing in the individual model with graphical dependencies. In: Annals of Actuarial Science, Vol. 16, no. 1, p. 183-209 (2022). doi:10.1017/s1748499521000166.

25. Ketelbuters, John John; Hainaut, Donatien. CDS pricing with fractional Hawkes processes. In: European Journal of Operational Research, Vol. 297, no.3, p. 1139-1150 (2022). doi:10.1016/j.ejor.2021.06.045.

Book Chapters

1. Jacquemain, Alexandre; Heuchenne, Cédric; Pircalabelu, Eugen. A lasso-type estimation for the Lorenz regression. In: Proceedings of the 22nd European Young Statistician Meeting , Panteion University of Social and Political Sciences: Athens, Greece, 2021, p. 41-45. 978-960-7943-22-4. xxx xxx.

2. 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.

3. 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.


1. Hainaut, Donatien. Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics. Springer, 2022. 978-3-031-06360-2. 345 pages.

2. Legrand, Catherine. Advanced Survival Models. Chapman and Hall/CRC Press, 2021. 9780429054167. 360 pages.