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

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

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. 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).

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).

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.

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).

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).

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.

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.

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.

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).

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.

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).

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).

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.

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

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

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.

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.

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.

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).

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.

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.

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.

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.


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