LIDAM Publications in Statistics, Biostatistics and Actuarial Sciences

Journal Articles

1. Jacquemain, Alexandre; Heuchenne, Cédric; Pircalabelu, Eugen. A penalised bootstrap estimation procedure for the explained Gini coefficient. In: Electronic Journal of Statistics, Vol. 18, no.1, p. 247-300 (2024). doi:10.1214/23-EJS2200. http://hdl.handle.net/2078.1/284898

2. Ketelbuters, John John; Hainaut, Donatien. A Recursive Method for Fractional Hawkes Intensities and the Potential Approach of Credit Risk. In: Journal of Computational and Applied Mathematics, (2024). (Accepté/Sous presse). http://hdl.handle.net/2078.1/286211

3. Rademacher, Daniel; Krebs, Johannes; von Sachs, Rainer. Statistical inference for wavelet curve estimators of symmetric positive definite matrices. In: Journal of Statistical Planning and Inference, Vol. 231, p. 106140 (2024). doi:10.1016/j.jspi.2023.106140. http://hdl.handle.net/2078.1/283644

4. Leunga Njike, Charles Guy; Hainaut, Donatien. Affine Heston model style with self-exciting jumps and long memory. In: Annals of Finance, (2024). doi:10.1007/s10436-023-00436-z (Accepté/Sous presse). http://hdl.handle.net/2078.1/283637

5. Nezakati Rezazadeh, Ensiyeh; Pircalabelu, Eugen. Estimation and inference in sparse multivariate regression and conditional Gaussian graphical models under an unbalanced distributed setting. In: Electronic Journal of Statistics, Vol. 18, no.1, p. 599-652 (2024). doi:10.1214/23-EJS2193. http://hdl.handle.net/2078.1/285769

6. Fall, Fanta; Mamede, Lucia; Vast, Madeline; De Tullio, Pascal; Hayette, Marie‑Pierre; Michels, Paul A. M.; Frédérich, Michel; Govaerts, Bernadette; Quetin-Leclercq, Joëlle. First comprehensive untargeted metabolomics study of suramin-treated Trypanosoma brucei: an integrated data analysis workflow from multifactor data modelling to functional analysis. In: Metabolomics, Vol. 20, p. 25 (2024). doi:10.1007/s11306-024-02094-2. http://hdl.handle.net/2078.1/285656

7. Zeddouk, Fadoua; Devolder, Pierre. Pricing and hedging of longevity basis risk through securitisation. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 54, no. 1, p. 159-184 (2024). doi:10.1017/asb.2023.37. http://hdl.handle.net/2078.1/282936

8. Servais, Thomas; Laurent, France; Roland, Thomas; Rossi, Camelia; De Groote, Elodie; Godart, Valérie; Repetto, Ernestina; Ponchon, Michel; Chasseur, Pascale; Crenier, Laurent; Van Eeckhoudt, Sandrine; Yango, John; Oriot, Philippe; Morisca Gavriliu, Mirela; Rouhard, Stéphanie; Deketelaere, Benjamin; Maiter, Dominique; Hermans, Michel; Yombi, Jean Cyr; Orioli, Laura. Mortality-related risk factors of inpatients with diabetes and COVID-19: A multicenter retrospective study in Belgium. In: Annales d'endocrinologie, Vol. 85, no. 1, p. 36-43 (2024). doi:10.1016/j.ando.2023.08.002. http://hdl.handle.net/2078.1/278333

9. Hanna, Vanessa; Devolder, Pierre. Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates. In: European Actuarial Journal, (2024). doi:10.1007/s13385-023-00354-4 (Accepté/Sous presse). http://hdl.handle.net/2078.1/276058

10. Asenova, Stefka; Segers, Johan. Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments. In: Advances in Applied Probability, (2024). doi:10.1017/apr.2023.46 (Accepté/Sous presse). http://hdl.handle.net/2078.1/282929

11. Janssen, Anja; Segers, Johan. Invariance properties of limiting point processes and applications to clusters of extremes. In: Dependence Modeling, Vol. 12, no.1, p. 20230109 (2024). doi:10.1515/demo-2023-0109. http://hdl.handle.net/2078.1/284859

12. Hainaut, Donatien. A mutually exciting rough jump-diffusion for financial modelling. In: Fractional Calculus and Applied Analysis, Vol. 27, no. 1, p. 319-352 (2024). doi:10.1007/s13540-023-00234-4. http://hdl.handle.net/2078.1/283639

13. Hafner, Christian. Explanatory factors of French retail wine prices. In: Applied Economics Letters, (2024). doi:10.1080/13504851.2023.2266565 (Accepté/Sous presse). http://hdl.handle.net/2078.1/281197

14. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2024). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse). http://hdl.handle.net/2078.1/258976

15. Devolder, Pierre; Russo, Emilio; Staino, Alessandro. Fair valuations of insurance policies under multiple risk factors: A flexible lattice approach. In: Astin Bulletin : the journal of the International Actuarial Association, (2024). doi:10.1017/asb.2024.5 (Accepté/Sous presse). http://hdl.handle.net/2078.1/286031

16. Hentschel, Manuel; Engelke, Sebastian; Segers, Johan. Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions. In: Journal of the American Statistical Association, (2024). doi:10.1080/01621459.2024.2371978 (Accepté/Sous presse). http://hdl.handle.net/2078.1/288717

17. Hu, Shuang; Peng, Zuoxiang; Segers, Johan. Modeling multivariate extreme value distributions via Markov trees. In: Scandinavian Journal of Statistics : theory and applications, Vol. 51, no. 2, p. 760-800 (2024). doi:10.1111/sjos.12698. http://hdl.handle.net/2078.1/281628

18. Denuit, Michel; Huyghe, Julie; Trufin, Julien; Verdebout, Thomas. Testing for auto-calibration with Lorenz and Concentration curves. In: Insurance: Mathematics and Economics, Vol. 117, p. 130-139 (2024). doi:10.1016/j.insmatheco.2024.04.003. http://hdl.handle.net/2078.1/287385

19. Huyghe, Julie; Trufin, Julien; Denuit, Michel. Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking. In: Scandinavian Actuarial Journal, Vol. 2024, no.5, p. 417-439 (2024). doi:10.1080/03461238.2023.2258135. http://hdl.handle.net/2078.1/287094

20. Ortega Jiménez, Patricia; Pellerey, Franco; Sordo, Miguel; Suárez-Llorens, Alfonso. Probability equivalent level for CoVaR and VaR. In: Insurance: Mathematics and Economics, Vol. 115, p. 22-35 (2024). doi:10.1016/j.insmatheco.2023.12.004. http://hdl.handle.net/2078.1/288397

21. Simar, Léopold; Zelenyuk, Valentin; Zhao, Shirong. Inference for aggregate efficiency: Theory and guidelines for practitioners. In: European Journal of Operational Research, Vol. 316, no.1, p. 240-254 (2024). doi:10.1016/j.ejor.2024.01.028. http://hdl.handle.net/2078.1/286920

22. Mamede, Lúcia; Fall, Fanta; Schoumacher, Matthieu; Ledoux, Allison; Bugli, Céline; De Tullio, Pascal; Quetin-Leclercq, Joëlle; Govaerts, Bernadette; Frédérich, Michel. Comparison of extraction methods in vitro Plasmodium falciparum: A1H NMR and LC-MS joined approach. In: Biochemical and biophysical research communications, Vol. 703, p. 149684 [1-9] (2024). doi:10.1016/j.bbrc.2024.149684. http://hdl.handle.net/2078.1/285655

23. Van Oirbeek, Robin; Vandervorst, Félix; Bury, Thomas; Willame, Gireg; Grumiau, Christopher; Verdonck, Tim. Non-Differentiable Loss Function Optimization and Interaction Effect Discovery in Insurance Pricing Using the Genetic Algorithm. In: Risks, Vol. 12, no.5, p. 79 (2024). doi:10.3390/risks12050079. http://hdl.handle.net/2078.1/287528

24. Deelstra, Griselda; Devolder, Pierre; Roelants du Vivier, Benjamin. Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products. In: Astin Bulletin : the journal of the International Actuarial Association, (2024). (Accepté/Sous presse). http://hdl.handle.net/2078.1/288552

25. Denuit, Michel; Trufin, Julien. Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments. In: Insurance: Mathematics and Economics, Vol. 118, p. 123-128 (2024). doi:10.1016/j.insmatheco.2024.06.003. http://hdl.handle.net/2078.1/289282

Book Chapters

1. Simar, Léopold; Wilson, Paul W.. Inference in Dynamic, Nonparametric Models of Production for General Technologies. In: Advances in the Theory and Applications of Performance Measurement and Management (Lecture Notes in Operations Research; xxx), Springer, 2024, p. 9-20. 978-3-031-61596-2; 978-3-031-61599-3. xxx xxx. doi:10.1007/978-3-031-61597-9. http://hdl.handle.net/2078.1/292192

2. O’Loughlin, Caitlin; Simar, Léopold; Wilson, Paul W.. Methodologies for assessing government efficiency. In: Handbook on Public Sector Efficiency , E. Elgar, 2023, p. 72-101 (chap. 4). 9781839109157. xxx xxx. doi:10.4337/9781839109164.00010. http://hdl.handle.net/2078.1/274630

3. Leluc, Rémi; Portier, François; Segers, Johan; Zhuman, Aigerim. A Quadrature Rule combining Control Variates and Adaptive Importance Sampling. In: Advances in Neural Information Processing Systems 35 (36th Conference on Neural Information Processing Systems - NeurIPS 2022) , NeurIPS, 2023, p. 11842-11853. 9781713871088. xxx xxx. http://hdl.handle.net/2078.1/277052

4. 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

5. 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

6. 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. http://hdl.handle.net/2078.1/249216

Books

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. http://hdl.handle.net/2078.1/264705

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