LIDAM Publications in Statistics, Biostatistics and Actuarial Sciences

Journal Articles

1. Pircalabelu, Eugen; Artemiou, Andreas. High-dimensional Sufficient Dimension Reduction through principal projections. In: Electronic Journal of Statistics, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/258818

2. Hafner, Christian; Liu, Guannan; Cai, Zongwu; Yang, Bingduo. Time-Varying Mixture Copula Models with Copula Selection. In: Statistica Sinica, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/258923

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). http://hdl.handle.net/2078.1/258973

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). http://hdl.handle.net/2078.1/258976

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). http://hdl.handle.net/2078.1/258975

6. Mouchart, Michel; Haedo, Christian. Two-mode clustering through profiles of regions and sectors. In: Empirical Economics, (2022). doi:10.1007/s00181-022-02201-z (Accepté/Sous presse). http://hdl.handle.net/2078.1/259444

7. Devolder, Pierre; Ngugnie Diffouo, Pauline. Solvency measurement of life annuity products. In: International Journal of Theoretical and Applied Finance, Vol. 25, no.2, p. 2250003 (2022). doi:10.1142/S0219024922500030 (Accepté/Sous presse). http://hdl.handle.net/2078.1/259742

8. 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. http://hdl.handle.net/2078.1/259744

9. von Sachs, Rainer; Chau, Joris. Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices. In: Computational Statistics & Data Analysis, (2022). doi:10.1016/j.csda.2022.107477 (Accepté/Sous presse). http://hdl.handle.net/2078.1/259687

10. Wunsch, Guillaume; Mouchart, Michel; Orsi, Renzo. Causality in Econometric Modeling : From Theory to Structural Causal Modeling. In: Journal of Econometrics and Statistics, Vol. 2, no.1, p. 61-90 (2022). http://hdl.handle.net/2078.1/264319

11. 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. http://hdl.handle.net/2078.1/264447

12. 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. http://hdl.handle.net/2078.1/264444

13. 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. http://hdl.handle.net/2078.1/262874

14. Barbarin, Jérôme; Hainaut, Donatien; Dupret, Jean-Loup. 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). http://hdl.handle.net/2078.1/263669

15. 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. http://hdl.handle.net/2078.1/259117

16. Soetewey, Antoine; Legrand, Catherine; Silversmit, Geert; Denuit, Michel. Semi-markov modeling for cancer insurance. In: European Actuarial Journal, (2022). doi:10.1007/s13385-022-00308-2 (Accepté/Sous presse). http://hdl.handle.net/2078.1/260117

17. Hainaut, Donatien; Njike Leunga, Charles Guy. Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model. In: Methodology and Computing in Applied Probability, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/257592

18. 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. http://hdl.handle.net/2078.1/257590

19. Hainaut, Donatien. Lévy Interest Rate Models with a Long Memory. In: Risks, Vol. 10, no.1, p. 2 (2022). doi:10.3390/risks10010002. http://hdl.handle.net/2078.1/257588

20. Denuit, Michel; Robert, Christian. Peering ahead. In: The Actuary, , no.January-February, p. 38-39 (2022). http://hdl.handle.net/2078.1/258574

21. 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. http://hdl.handle.net/2078.1/259094

22. Trufin, Julien; Denuit, Michel; Corradin, Alexandre; Sammarco, Matteo; Detyniecki, Marcin; Grari, Vincent. 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. http://hdl.handle.net/2078.1/257959

23. Hieber, Peter; Devolder, Pierre; Hanna, Vanessa. 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. http://hdl.handle.net/2078.1/253289

24. Restaino, Marialuisa; Beretta, Alessandro; Heuchenne, Cédric. Competing risks proportional-hazards cure model and generalized extreme value regression: an application to bank failures and acquisitions in the United States. In: Journal of Applied Statistics, (2022). doi:10.1080/02664763.2021.1973386 (Accepté/Sous presse). http://hdl.handle.net/2078.1/251423

25. Orsi, Renzo; Russo, Federica; Mouchart, Michel; Wunsch, Guillaume. Time and causality in the social sciences. In: Time & Society, Vol. 31, no. 2, p. 177-204 (2022). doi:10.1177/0961463X211029488. http://hdl.handle.net/2078.1/254443

Book Chapters

1. El Ghouch, Anouar; Bücher, Axel; 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. Pircalabelu, Eugen; Heuchenne, Cédric; Jacquemain, Alexandre. 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. http://hdl.handle.net/2078.1/249216

Books

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