Discussion Papers

2023 / 38
Anna Kiriliouk, Jeongjin Lee, Johan Segers
X-Vine Models for Multivariate Extremes

2023 / 37
Somnath Chakraborty, Johannes Lederer, Rainer von Sachs
Estimation of stable parameters for multiple autoregressive processes via convex programming

2023 / 36
Morine Delhelle, Ingrid Van Keilegom
Copula based dependent censoring in cure models

2023 / 35
Antoine Soetewey, Catherine Legrand, Michel Denuit, Geert Silversmit
Right to be forgotten for mortgage insurance issued to cancer survivors: critical assessment and new proposal

2023 / 34
Anas  Mourahib, Anna  Kiriliouk, Johan Segers
Multivariate generalized Pareto distributions along extreme directions

2023 / 33
Hassana Al-Hassan, Pierre Devolder, Christiana Nayrko,  K. Sagary Nokoh
A Simple Two Period Overlapping Generation (OLG) Model For Public Pension Scheme (PAYG)

2023 / 32
Léopold Simar, Valentin Zelenyuk, Shirong Zhao
Statistical Inference for Hicks–Moorsteen Productivity Indices

2023 / 31
Léopold Simar, Paul Wilson
Inference in Dynamic, Nonparametric Models of Production for General Technologies

2023 / 30
Huei-Wen Teng, Wolfgang Karl Härdle, Christian M. Hafner, e.a.
Mitigating Digital Asset Risks

2023 / 29
Donatien Hainaut
Valuation of guaranteed minimum accumulation benefits (GMAB) with physics inspired neural networks

2023 / 28
Jan Dhaene, Christian Y. Robert, Ka Chun Cheung, Michel Denuit
An axiomatic theory for comonotonicity-based risk sharing

2023 / 27
Alexandre Jacquemain, Cédric Heuchenne
Lorenz Regression: an implementation of the Lorenz and penalized Lorenz regressions in R

2023 / 26
Edouard Motte, Donatien Hainaut
Partial hedging in rough volatility models

2023 / 25
Charlotte Jamotton, Donatien Hainaut
Variational autoencoder for synthetic insurance data

2023 / 24
Ensiyeh Nezakati, Eugen Pircalabelu
Directional false discovery rate control via debiased and distributed procedures in Gaussian graphical models

2023 / 23
Oussama Belhouari, Griselda Deelstra, Pierre Devolder
Hybrid life insurance valuation based on a new standard deviation premium principle in a stochastic interest rate framework

2023 / 22
Keivan Diakite, Pierre Devolder
Automatic Adjustment Mechanisms in Public Pension Schemes to Address Population Ageing and Socioeconomic Disparities in Longevity

2023 / 21
Ensiyeh Nezakati, Eugen Pircalabelu
Estimation and inference in sparse multivariate regression and conditional Gaussian graphical models under an unbalanced distributed setting

2023 / 20
Stéphane Lhaut, Johan Segers
An asymptotic expansion of the empirical angular measure for bivariate extremal dependence

2023 / 19
Rémi Leluc, François Portier, Aigerim Zhuman, Johan Segers
Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence

2023 / 18
Cinzia Daraio, Simone Di Leo, Léopold Simar
Efficiency of Italian Municipalities and Waste Regulatory Target

2023 / 17
Marie Brière, Léopold Simar, Ariane Szafarz, Anne Vanhems
Sensitivity to measurement errors of the distance to the efficient frontier

2023 / 16
Léopold Simar, Valentin Zelenyuk, Shirong Zhao
Inference for Aggregate Efficiency: Theory and Guidelines for Practitioners

2023 / 15
Léopold Simar, Valentin Zelenyuk, Shirong Zhao
Further Improvements of Finite Sample Approximation of Central Limit Theorems for Envelopment Estimators

2023 / 14
Pierre-Alexandre Simon, Julien Trufin, Michel Denuit
Bivariate Poisson credibility model and bonus-malus scale for claim and near-claim events

2023 / 13
Antoine Soetewey, Catherine Legrand, Michel Denuit, Geert Silversmit
Health indices for disease incidence risk and duration in the Semi-Markov setting

2023 / 12
Jean-Loup Dupret, Donatien Hainaut
Optimal liquidation under indirect price impact with propagator

2023 / 11
Donatien Hainaut
A mutually exciting rough jump diffusion for financial modelling

2023 / 10
Michel Denuit, Christian Y. Robert
Conditional mean risk sharing of independent discrete losses in large pools

2023 / 09
Michel Denuit, Christian Y. Robert
Endowment contingency funds for mutual aid and public financing

2023 / 08
Gireg Willame, Julien Trufin, Michel Denuit
Boosted Poisson regression trees: A guide to the BT package in R

2023 / 07
Donatien Hainaut, Maggie Chen, Enrico Scalas
The rough Hawkes process

2023 / 06
Philippe Lambert, Michaela Kreyenfeld
Exogenous time-varying covariates in double additive cure survival model with application to fertility

2023 / 05
Michel Denuit, Jan Dhaene, Mario Ghossoub, Christian Y. Robert
Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance

2023 / 04
Christian M. Hafner, Helmut Herwartz, Shu Wang
Causal inference with (partially) independent shocks and structural signals on the global crude oil market

2023 / 03
Donatien Hainaut, Adnane Akbaraly
Risk management with Local Least Squares Monte-Carlo

2023 / 02
Charlotte Jamotton, Donatien Hainaut, Thomas Hames
Insurance analytics with clustering techniques

2023 / 01
Jean-Loup Dupret, Donatien Hainaut
A fractional Hawkes process for illiquidity modeling

2022 / 42
Hassana Al-Hassan, Pierre Devolder
Stochastic Modellization of Hybrid Public Pension Plans (PAYG) under Demographic Risks with Application to the Belgian Case

2022 / 41
Michel Denuit, Julien Trufin
Autocalibration by balance correction in nonlife insurance pricing

2022 / 40
Michel Denuit, Julien Trufin
Tweedie dominance for autocalibrated predictors and Laplace transform order

2022 / 39
Michel Denuit, Julien Trufin, Thomas Verdebout
Boosting on the responses with Tweedie loss functions

2022 / 38
Fadoua Zeddouk, Pierre Devolder
Pricing and hedging of longevity basis risk through securitization

2022 / 37
Christian Hafner, Helmut Herwartz
Asymmetric volatility impulse response functions

2022 / 36
Min-Bin Lin, Bingling Wang, Fabian Y.R.P. Bocart, Christian M. Hafner, Wolfgang K. Härdle
DAI Digital Art Index : a robust price index for heterogeneous digital assets

2022 / 35
Camilla Mastromarco, Léopold Simar, Ingrid Van Keilegom
Estimating Nonparametric Conditional Frontiers and Efficiencies: A New Approach

2022 / 34
Michel Denuit, Christian Y. Robert
Dynamic conditional mean risk sharing in the compound Poisson surplus model

2022 / 33
Michel Denuit, Julien Trufin
Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration

2022 / 32
Manuel Hentschel, Sebastian Engelke, Johan Segers
Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions

2022 / 31
Stefka Asenova, Johan Segers
Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments

2022 / 30
Philippe Lambert, Oswaldo Gressani
Penalty parameter selection and asymmetry corrections to Laplace approximations in Bayesian P-splines models

2022 / 29
Michel Denuit, Christian Y. Robert
Allocation of benefits in mutual aid and survivor funds

2022 / 28
Léopold Simar, Paul Wilson
Another Look at Productivity Growth in Industrialized Countries

2022 / 27
Haotian Xu, Daren Wang, Zifeng Zhao, Yi Yu
Change point inference in high-dimensional regression models under temporal dependence

2022 / 26
John-John Ketelbuters, Donatien Hainaut
A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk

2022 / 25
John-John Ketelbuters, Donatien Hainaut
Option pricing and hedging in illiquid markets in presence of jump clustering

2022 / 24
Alois Kneip, Léopold Simar, Paul W. Wilson
Conical FDH Estimators of General Technologies, with Applications to Returns to Scale and Malmquist Productivity Indices

2022 / 23
Michaela Kreyenfeld, Dirk Konietzka, Philippe Lambert, Vincent Jerald Ramos
Second Birth Fertility in Germany: Social Class, Gender, and the Role of Economic Uncertainty

2022 / 22
Johan Segers
Graphical and uniform consistency of estimated optimal transport plans

2022 / 21
Shuang Hu, Zuoxiang Peng, Johan Segers
Modelling multivariate extreme value distributions via Markov trees

2022 / 20
Anja Janssen, Johan Segers
Invariance properties of limiting point processes and applications to clusters of extremes

2022 / 19
Donatien Hainaut
A calendar year mortality model in continuous time

2022 / 18
Rémi Leluc, François Portier, Johan Segers, Aigerim Zhuman
A Quadrature Rule combining Control Variates and Adaptive Importance Sampling

2022 / 17
Cinzia Daraio, Léopold Simar
Approximations and Inference for Nonparametric Production Frontiers

2022 / 16
Frédérique Fève, Jean-Pierre Florens, Léopold Simar
Proportional Incremental Cost Probability Functions and their Frontiers

2022 / 15
Myriam Lanotte, Pierre Devolder
Communication relative aux pensions : digitalisation et défis pour l'avenir

2022 / 14
Jochem Oorschot, Johan Segers, Chen Zhou
Tail inference using extreme U-statistics

2022 / 13
Stefka Asenova, Johan Segers
Extremes of Markov random fields on block graphs

2022 / 12
Donatien Hainaut
Pricing of spread and exchange options in a rough jump-diffusion market

2022 / 11
Thorsten Hohage, Pierre Maréchal, Léopold Simar, Anne Vanhems
A mollifier approach to the deconvolution of probability densities

2022 / 10
François Seck Fall, Hubert Tchakoute Tchuigoua, Anne Vanhems, Léopold Simar
Investigating the unobserved heterogeneity effect on microfinance social efficiency

2022 / 09
Christian Hafner, Oliver Linton, Linqi Wang
Dynamic Autoregressive Liquidity (DArLiQ)

2022 / 08
Eugen Pircalabelu, Xin Bing
Overlapping clustering of time dependent variables for fMRI data

2022 / 07
Eugen Pircalabelu
WB-graphs: a within versus between group similarity interplay

2022 / 06
Léopold Simar, Paul Wilson
Modern Tools for Evaluating the Performance of Health-Care Providers

2022 / 05
Manh D. Pham, Léopold Simar, Valentin Zelenyuk
Statistical Inference for Aggregation of Malmquist Productivity Indices

2022 / 04
Daniel Rademacher, Johannes Krebs, Rainer von Sachs
Statistical inference for wavelet curve estimators of symmetric positive definite matrices

2022 / 03
Charles G. Njike Leunga, Donatien Hainaut
Long memory self-exciting jump diffusion for asset prices modeling

2022 / 02
Donatien Hainaut
Multivariate rough claim processes: properties and estimation

2022 / 01
Jean-Loup Dupret, Donatien Hainaut
A subdiffusive stochastic volatility jump model

2021 / 42
Cédric Heuchenne, Alexandre Jacquemain
Inference for monotone single-index conditional means: a Lorenz regression approach

2021 / 41
Alexandre Jacquemain, Cédric Heuchenne, Eugen Pircalabelu
A lasso-type estimation for the Lorenz regression

LIDAM Discussion Paper ISBA 2021/40 - MARION, R., LEDERER, J., GOVAERTS, B. and R. VON SACHS
VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering

LIDAM Discussion Paper ISBA 2021/39 - P. LAMBERT
Moment-based density and risk estimation from grouped summary statistics

LIDAM Discussion Paper ISBA 2021/38 - DENUIT, M., HIEBER, P. and C. Y. ROBERT
Mortality credits within large survivor funds

LIDAM Discussion Paper ISBA 2021/37 - DENUIT, M., DHAENE, J. and C. Y. ROBERT
Risk-sharing rules and their properties, with applications to peer-to-peer insurance

LIDAM Discussion Paper ISBA 2021/36 - DENUIT, M. and J. TRUFIN
Lorenz curve, Gini coefficient, and Tweedie dominance for autocalibrated predictors

LIDAM Discussion Paper ISBA 2021/35 - SECK, N. A. and M. DENUIT
Adaptive splines for continuous features in risk assessment

LIDAM Discussion Paper ISBA 2021/34 - LHAUT, S., SABOURIN, A. and J. SEGERS
Uniform concentration bounds for frequencies of rare events

LIDAM Discussion Paper ISBA 2021/33 - GUYEN, B.,H., SIMAR, L. and V. ZELENYUK
Data sharpening for improving CLT approximations for DEA-type efficiency estimators

LIDAM Discussion Paper ISBA 2021/32 - PIRCALABELU, E. and G. CLAESKENS
Linear manifold modeling and graph estimation based on multivariate functional data with different coarseness scales

LIDAM Discussion Paper ISBA 2021/31 - NEZAKATI REZAZADEH, E. and E. PIRCALABELU
Unbalanced distributed estimation and inference for precision matrices

LIDAM Discussion Paper ISBA 2021/30 - E. PIRCALABELU
A spline-based time-varying reproduction number for modelling epidemiological outbreaks

LIDAM Discussion Paper ISBA 2021/29 -  PARMETER, C., SIMAR, L., VAN KEILEGOM, I. and V.  ZELENYUK
Inference in the Nonparametric Stochastic Frontier Model

LIDAM Discussion Paper ISBA 2021/28 - D. HAINAUT
Moment generating function of non-Markov self-excited claims processes

LIDAM Discussion Paper ISBA 2021/27 - C. HAFNER
Teaching statistical inference without normality

LIDAM Discussion Paper ISBA 2021/26 - DUPRET, J-L. and D. HAINAUT
Portfolio insurance under rough volatility and Volterra processes

LIDAM Discussion Paper ISBA 2021/25 - NJIKE LEUNGA, C. and D. HAINAUT
Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model

LIDAM Discussion Paper ISBA 2021/24 - MORDANT, G. and J. SEGERS
Measuring dependence between random vectors via optimal transport

LIDAM Discussion Paper ISBA 2021/23 - CLEMENCON, S., JALALZAI, H., SABOURIN, A., LHAUT, S. and J. SEGERS
Concentration bounds for the empirical angular measure with statistical learning applications

LIDAM Discussion Paper ISBA 2021/22 - DENUIT, M. and C.Y. ROBERT
From risk reduction to risk elimination by conditional mean risk sharing of independent losses

LIDAM Discussion Paper ISBA 2021/21 - DENUIT, M., TRUFIN, J. and T. VERDEBOUT
Testing for more positive expectation dependence with application to model comparison

LIDAM Discussion Paper ISBA 2021/20 – D. HAINAUT
Lévy interest rate models with a long memory

LIDAM Discussion Paper ISBA 2021/19 -  D. HAINAUT
A fractional multi-states model for insurance

LIDAM Discussion Paper ISBA 2021/18 - KETELBUTERS, J-J. and D. HAINAUT
CDS Pricing with Fractional Hawkes Processes

LIDAM Discussion Paper ISBA 2021/17 - DUPRET, J-L., BARBARIN, J. and D. HAINAUT
Impact of rough stochastic volatility models on long-term life insurance pricing

LIDAM Discussion Paper ISBA 2021/16 - DENUIT, M. and C. Y. ROBERT
Polynomial series expansions and moment approxima-tions for conditional mean risk sharing of insurance losses

LIDAM Discussion Paper ISBA 2021/15 - TRUFIN, J. and M. DENUIT
Boosting cost-complexity pruned trees On Tweedie responses: the ABT machine

LIDAM Discussion Paper ISBA 2021/14 - MATHIEU, S., LEFEVRE, L., VON SACHS, R., DELOUILLE, V., RITTER, C. and F. CLETTE
Nonparametric monitoring of sunspot number observations: A case study

LIDAM Discussion Paper ISBA 2021/13 - DENUIT, M., CHARPENTIER, A. and J. TRUFIN
Autocalibration and Tweedie-dominance for insurance pricing with machine learning

LIDAM Discussion Paper ISBA 2021/12 - HAINAUT, D., TRUFIN, J. and M. DENUIT   
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link

LIDAM Discussion Paper ISBA 2021/11 - CADENA, M. and M. DENUIT
A new measure of mortality differentials based on precedence probability

LIDAM Discussion Paper ISBA 2021/10 - HANNA, V., HIEBER, P. and P. DEVOLDER
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy

LIDAM Discussion Paper ISBA 2021/09 - THIEL, M., SAUWEN, N., KHAMIAKOVA, T., MAES, T. and B. GOVAERTS
Comparison of chemometrics strategies for the spectroscopic monitoring of active pharmaceutical ingredients in chemical reactions

LIDAM Discussion Paper ISBA 2021/08 - MORDANT, G. and J. SEGERS
Maxima and near-maxima of a Gaussian random assignment field

LIDAM Discussion Paper ISBA 2021/07 - HALLIN, M., MORDANT, G. and J. SEGERS
Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance

LIDAM Discussion Paper ISBA 2021/06 - ASENOVA, S., MAZO, G. and J. SEGERS
Inference on extremal dependence in the domain of attraction of a structured Hüsler–Reiss distribution motivated by a Markov tree with latent variables

LIDAM Discussion Paper ISBA 2021/05 - EINMAHL, J. and J. SEGERS
Empirical tail copulas for functional data

LIDAM Discussion Paper ISBA 2021/04 - KETELBUTERS, J-J. and D. HAINAUT
Time-Consistent Evaluation of Credit Risk with Contagion

LIDAM Discussion Paper ISBA 2021/03 - SIMAR, L. and P. WILSON
Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs

LIDAM Discussion Paper ISBA 2021/02 - O’LOUGHLIN, C., SIMAR, L. and P. WILSON
Methodologies for assessing government efficiency

LIDAM Discussion Paper ISBA 2021/01 - DENUIT, M. and C. Y. ROBERT
Risk sharing under the dominant peer-to-peer property and casualty insurance business models

DP2020/33 - FALL, F., TCHUIGOUA, H., VANHEMS, A. and L. SIMAR
Gender effect on microfinance social efficiency: A robust nonparametric approach

DP2020/32 - HAFNER, C. and L. WANG
Dynamic portfolio selection with sector-specific regularization

DP2020/31 - HAFNER, C  and H. HERWARTZ
Dynamic score driven independent component analysis

DP2020/30 - MATHIEU, S., VON SACHS, R., DELOUILLE, V., LEFÈVRE, L. and C. RITTER
Nonparametric robust monitoring of time series panel data

DP2020/29 - DENUIT, M. and C. Y. ROBERT
Conditional mean risk sharing for dependent risks using graphical models

DP2020/28 - DENUIT, M. and C. Y. ROBERT
Stop-loss protection for a large P2P insurance pool

DP2020/27 - LUCAS, N., AVALOSSE, H. and M. DENUIT
Hospital inpatients costs dynamics at older ages: A frequency-severity approach

DP2020/26 - HIEBER, PETER; LUCAS, NATHALIE
Life-Care Tontines

DP2020/25 - HAINAUT, DONATIEN
An actuarial approach for modeling pandemic risk

DP2020/24 - DENUIT, M. and C. Y. ROBERT
Risk reduction by conditional mean risk sharing with application to collaborative insurance

DP2020/23 - DENUIT, M. and C. Y. ROBERT
Efron’s asymptotic monotonicity property in the gaussian stable domain of attraction

DP2020/22 - WUNSCH, G., RUSSO, F., MOUCHART, M. and R. ORSI
Time and Causality in the Social Sciences

DP2020/21 - MOUCHART, M., ORSI, R. and G. WUNSCH
Causality in econometric modeling From theory to structural causal modeling

DP2020/20 - GRESSANI, O. and P. LAMBERT
The Laplace-P-spline methodology for fast approximate Bayesian inference in additive partial linear models

DP2020/19 - PLASSIER, V., PORTIER, F. and J. SEGERS
Risk bounds when learning infinitely many response functions by ordinary linear regression

DP2020/18 – DENUIT, M. and C. Y. ROBERT
Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks

DP2020/17 – M. DENUIT and C. Y. ROBERT
From risk sharing to risk transfer: the analytics of collaborative insurance

DP2020/16 – DENUIT, M. and Y. LU
Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving

DP2020/15 - DENUIT, M. and C. Y. ROBERT
From risk sharing to pure premium for a large number of heterogeneous losses

DP2020/14 - DENUIT, M. and C. Y. ROBERT
Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities

DP2020/13 - GRESSANI, O. and P. LAMBERT
Laplace approximation for fast Bayesian inference in generalized additive models based on penalized regression splines

DP2020/12 - GOVAERTS, R., FRANCQ, B., MARION, R., MARTIN, M. and M. THIEL
The essentials on linear regression, ANOVA, general linear and linear mixed models for the chemist

DP2020/11 - MARION, R., GOVAERTS, B. and R. VON SACHS
AdaCLV for Interpretable Variable Clustering and Dimensionality Reduction of Spectroscopic Data

DP2020/10 - G. MORDANT
A Random Assignment Problem: Size of Near Maximal Sets and Correct Order Expectation Bounds

DP2020/09 - KACZYNSKA, S., MARION, R. and R. VON SACHS
Comparison of Cluster Validity Indices and Decision Rules for Different Degrees of Cluster Separation

DP2020/08 - PIRCALABELU, E. and A. ARTEMIOU
High-dimensional Sufficient Dimension Reduction through principal projections

DP2020/07 - PIRCALABELU, E. and A. ARTEMIOU
Graph informed sufficient dimension reduction

DP2020/06 - HALLIN, M., MORDANT, G. and J. SEGERS
 Multivariate Goodness-of-Fit Tests Based on Wasserstein Distance

DP2020/05 - ASENOVA, S., MAZO, G. and J. SEGERS
Inference on extremal dependence in a latent Markov tree model attracted to a Hüsler-Reiss distribution

DP2020/04 - EINMAHL, J. and J. SEGERS
Empirical tail copulas for functional data

DP2020/03 - HAINAUT, D. and N. LEONENKO
Option pricing in illiquid markets: a fractional jump-diffusion approach

DP2020/02 - D. HAINAUT
Credit risk modelling with fractional self-excited processes (This discussion paper replaces DP2019/27)

DP2020/01 - D. HAINAUT and M. DENUIT
Wavelet-based feature-engineering for mortality projection (This discussion paper replaces DP2019/26)

DP2019/28 - M. DENUIT
Investing in your own and peers' risks: The simple analytics of p2p insurance

DP2019/27 - D. HAINAUT
Credit risk modelling with fractional self-excited processes

DP2019/26 - HAINAUT, D. and M. DENUIT
Wavelet-based feature-engineering for mortality projection

DP2019/25 - BIBAL, A., MARION. R., FRENAY, B. and R. VON SACHS
BIOT: Explaining Multidimensional MDS Embeddings Using the Best Interpretable Orthogonal Transformation

DP2019/24 - BARIGOZZI, M., HALLIN, M., SOCCORSI, S. and R. VON SACHS
Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness

DP2019/23 - MASTROMARCO, C., SIMAR, L. and V. ZELENYUK
Predicting Recessions: A New Measure of Output Gap as Predictor

DP2019/22 - MATHIEU, S., VON SACHS, R., RITTER, C., DELOUILLE, V. and L. LEFÈVRE
Uncertainty quantification in sunspot counts.

DP2019/21 - MARTIN, M. and B. GOVAERTS
LiMM-PCA : combining ASCA+ and linear mixed models to analyse high dimensional designed data

DP2019/20 - MARTIN, M. and B. GOVAERTS
Feature Selection in metabolomics with PLS-derived methods

DP2019/19 - SIMAR, L. and P. WILSON
Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits

DP2019/18 - ZEDDOUK, F. and P. DEVOLDER
Mean reversion in stochastic mortality : why and how?

DP2019/17 - NJIKE LEUNGA, C. and D. HAINAUT
Interbank Credit Risk Modelling with Self-Exciting Jump Processes

DP2019/16 - D. HAINAUT
Fractional Hawkes processes

DP2019/15 - LELUC, R., PORTIER, F. and J. SEGERS
Control variate selection for Monte Carlo integration

DP2019/14 - HAEDO, C. and M. MOUCHART
Two-mode clustering through profiles of regions and sectors.

DP2019/13 - PECHON, F., DENUIT, M. and J. TRUFIN
Home and Motor insurance joined at a household level using multivariate credibility

DP2019/12 - KIRILIOUK, A., SEGERS, J. and H. TSUKAHARA
On Some Resampling Procedures with the Empirical Beta Copula

DP2019/11 - P. DEVOLDER
Une alternative à la pension à points : le compte individuel pension en euros

DP2019/10 - M. DENUIT
Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines

DP2019/09 - M. DENUIT
Size-biased risk measures of compound sums

DP2019/08 - R. VON SACHS
Spectral Analysis of Multivariate Time

DP2019/07 - HANBALI, H., CLAASSENS, H., DENUIT, M., DHAENE, J. and J. TRUFIN
Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system

DP2019/06 - DENUIT, M., SZNAJDER, D. and J. TRUFIN
Model selection based on Lorenz and concentration curves, Gini indices and convex order

DP2019/05 - DENUIT, M., MESFOUI, M. and J. TRUFIN
Concordance-based predictive measures in regression models for discrete responses

DP2019/04 - DARAIO, C., SIMAR, L. and P. WILSON
Quality and its impact on efficiency

DP2019/03 - WUNSCH, G., MOUCHART, M. and F. RUSSO
La modélisation en sciences sociales: Incertitudes et défis. ISBA Discussion Paper

DP2019/02 - WUNSCH, G., MOUCHART, M. and F. RUSSO
Examining Cause-Effect Relations in the Social Sciences A Structural Causal Modelling Approach

DP2019/01 - J. SEGERS
One- versus multi-component regular variation and extremes of Markov trees

DP2018/35 - TRAN, K. P., HEUCHENNE, C. and B. NARAYANASWAMY
On the performance of coefficient of variation charts in the presence of measurement errors

DP2018/34 -  NGUYEN, H. D., TRAN, K. P. and C. HEUCHENNE
Monitoring the ratio of two normal variables using variable sampling interval exponentially weighted moving average control charts

DP2018/33 - BERETTA, A. and C. HEUCHENNE
Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures

DP2018/32 - DENUIT, M., GUILLEN, M. and J. TRUFIN
Multivariate credibility modeling for usage-based motor insurance pricing with behavioral data

DP2018/31 - DE VALK, C. and  J. SEGERS
Stability and tail limits of transport-based quantile contours

DP2018/30 - GUISSET, S., MARTIN, M. and B. GOVAERTS
Comparison of PARAFASCA, AComDim, and AMOPLS approaches in the multivariate GLM modelling of multi-factorial designs

DP2018/29 - KIRILIOUK, A., SEGERS, J. and L. TAFAKORI
An estimator of the stable tail dependence function based on the empirical beta copula

DP2018/28 - MARECHAL, P., SIMAR, L. and A. VANHEMS
A mollifier approach to the deconvolution of probability densities

DP2018/27 - RUSSO, F., WUNSCH, G. and M. MOUCHART
Causality in the Social Sciences: A structural modelling framework

DP2018/26 - HAEDO, C. and M. MOUCHART
Automatic biclustering of regions and sectors

DP2018/25 - CHAU, J. and R. VON SACHS
Intrinsic wavelet regression for surfaces of Hermitian positive definite matrices

DP2018/24 - NGUGNIE DIFFOUO, P. and P. DEVOLDER
Static risk measurement of life annuity products: the longevity model

DP2018/23 - DEVOLDER, P. and P. NGUGNIE DIFFOUO
Valuation of insurer's solvency for a life annuity within the equity-longevity model

DP2018/22 - ALONSO-GARCÍA, J., BOADO-PENAS, M. and P. DEVOLDER
Adequacy, fairness and sustainability of pay-as-you-go-pension-systems: defined benefit versus defined contribution

DP2018/21 - SIMAR, L. and P. WILSON
Central Limit Theorems and Inference for Sources of Productivity Change Measured by Nonparametric Malmquist Indices

DP2018/20 - SIMAR, L. and V. ZELENYUK
Improving Finite Sample Approximation by Central Limit Theorems for DEA and FDH efficiency scores

DP2018/03 - DAOUIA, A., FLORENS, J-P. and L. SIMAR
Robustified expected maximum production frontiers

DP2018/02 - DAVIS, R., HOLGER, D., SEGERS, J. and M. WARCHOL
Inference on the tail process with application to financial time series modelling

DP2018/01 - PORTIER, F. and J. SEGERS
Monte Carlo integration with a growing number of control variates

DP2016/36 - HAFNER, C. and O. LINTON
An Almost Closed Form Estimator for the EGARCH model

DP2016/35 - BREITUNG, J. and C. HAFNER
A simple model for now-casting volatility series

DP2016/34 - HAFNER, C., LAURENT, S. and F. VIOLANTE
Weak Diffusion Limits of Dynamic Conditional Correlation Models

DP2016/33 - THIEL, M., FERAUD, B. and B. GOVAERTS
ASCA+ and APCA+: extensions of ASCA and APCA in the analysis of unbalanced multifactorial designs

DP2016/32 - SEGERS, J., MASAAKI, S. and H. TSUKAHARA
The Empirical Beta Copula

DP2016/31 - COLLING, B. and I. VAN KEILEGOM
Goodness-of-fit tests in semiparametric transformation models using the integratedregression function

DP2016/30 - DENUIT, M. and J. TRUFIN
Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development

DP2016/29 - DENUIT. M. and J. TRUFIN
Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance

DP2016/28 - DAOUIA, A., FLORENS, J-P. and L. SIMAR (This discussion paper replaces DP2014/23)
Robust frontier estimation from noisy data: a Tikhonov regularization approach

DP2016/27 - DARAIO, C., SIMAR, L. and P. WILSON (This discussion paper replaces DP2015/18)
Nonparametric Estimation of Efficiency in the Presence of Environmental Variables

DP2016/26 - G. MAZO
A semiparametric and location-shift copula-based mixture model

DP2016/25 - DEVOLDER, P. and H. TASSA (This discussion paper replaces DP2011/16)
Solvency measurement for defined benefits pension schemes

DP2016/24 - SIMAR, L. and V. ZELENYUK
Asymptotic Theory for Aggregate Efficiency

DP2016/23 - DEVOLDER, P. and A. LEBEGUE
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

DP2016/22 - NALPAS, N., SIMAR, L. and A. VANHEMS
Portfolio Selection in a Multi-Input Multi-Output Setting:a Simple Monte-Carlo-FDH Algorithm

DP2016/21 - FLORENS, J-P., HOROWITZ, J. and I. VAN KEILEGOM
Bias-corrected condence intervals in a class of linear inverse problems

DP2016/20 - MARCON, G., PADOAN, S., NAVEAU, P., MULIERE, P. and J. SEGERS
Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials

DP2016/19 - SABOURIN, A. and J. SEGERS
Marginal standardization of upper semicontinuous processes with application to max-stable processes

DP2016/18 - ROOTZEN, H., SEGERS, J. and J. WADSWORTH
Multivariate peaks over thresholds models

DP2016/17 - SEGERS, J., ZHAO, Y. and T. MEINGUET
Radial-angular decomposition of regularly varying time series in star-shaped metric spaces

DP2016/16 - DAVIS, R., HOLGER, D., SEGERS, J. and M. WARCHOL
Modeling serial extremal dependence

DP2016/15 - ASIN, N. and J. JOHANNES
Adaptive non-parametric instrumental regression in the presence of dependence

DP2016/14 - SCOLAS, S. LEGRAND, C., OULHAJ, A. and A. EL GHOUCH
Diagnostic checks in mixture cure models with interval-censoring

DP2016/13 - CHAU, J.V.V. and R. VON SACHS
Functional mixed effects wavelet estimation for spectra of replicated time series

DP2016/12 - GBARI, S., POULAIN, M, DAL, L. and M. DENUIT
Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death

DP2016/11 - TALAMAKROUNI, M., EL GHOUCH, A. and I. VAN KEILEGOM
Parametrically guided local quasi-likelihood with censored data

DP2016/10 - LEBIGRE, C. TIMMERMANS, C. and C. SOULSBURY
Black grouse males do not modulate their lekking behaviour according to their neighbour’s kinship

DP2016/09 - DE BACKER, M., EL GHOUCH, A. and I. VAN KEILEGOM
Semiparametric Copula Quantile Regression for Complete or Censored Data

DP2016/08 - DENUIT, M. and J. TRUFIN
Hybrid Loss Development Modelling in P&C Insurance with an Application to Motor Third Party Liability

DP2016/07 - ASIN, N. and J. JOHANNES
Adaptive non-parametric estimation in the presence of dependence

DP2016/06 - BERTRAND, A., LEGRAND, C., LEONARD, D. and I. VAN KEILEGOM
Robustness of estimation methods in a survival cure model with mismeasured covariates

DP2016/05 - N. UYTTENDAELE (This discussion paper replaces DP2014/28)
On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison

DP2016/04 - MAZO, G. and N. UYTTENDAELE
Building conditionally dependent parametric one-factor copulas

DP2016/03 - BÜCHER, A. and J. SEGERS
On the Maximum Likelihood Estimator for the Generalized Extreme-Value Distribution

DP2016/02 - EINMAHL, J., KIRILIOUK, A. and J. SEGERS
A continuous updating weighted least squares estimator of tail dependence in high dimensions

DP2016/01 - MOUCHART, M., BOUCKAERT, A. and G. WUNSCH
Assessing causality in clinical trials, A Sure Outcome of Random Events (SORE) Model

DP2015/28 - HAFNER, C. and A. LAUWERS
An augmented Taylor rule for the Federal Reserve’s response to asset prices

DP2015/27 - HAFNER, C. and A. PREMINGER
The effect of additive outliers on a fractional unit root test

DP2015/26 - DENUIT, M. and J. TRUFIN
From Regulatory Life Tables to Stochastic Mortality Projections: The Exponential Decline Model

DP2015/25 - BREMHORST, V., KREYENFELD, M. and P. LAMBERT
Fertility progression in Germany: An analysis using flexible nonparametric cure survival models

DP2015/24 - PORTIER, F. and J. SEGERS
On the weak convergence of the empirical conditional copula under a simplifying assumption

DP2015/23 - BUCHER, A. and J. SEGERS
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series

DP2015/22 - MOUCHART, M. and R. ORSI
Building a structural model: parameterization and structurality

DP2015/21 - HAFNER, C. and J. BREITUNG
A simple model for now-casting volatility series

DP2015/20 - DEVOLDER, P. and A. LEBEGUE
Compositions of Conditional Risk Measures and Solvency Capital

DP2015/19 - MOUCHART, M. WUNSCH, G. and F. RUSSO
The issue of control in multivariate systems, A contribution of structural modelling

DP 2015/18 - DARAIO, D., SIMAR, L. and P. WILSON
Testing the "Separability" Condition in Two-Stage Nonparametric Models of Production

DP2015/17 - DAOUIA, A. and I. VAN KEILEGOM
A random locational M-estimation problem based on the L2-Wasserstein distance

DP2015/16 - BRAVO, F., ESCANCIANO, J.C. and I. VAN KEILEGOM
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference

DP2015/15 - FRANCQ, B. and B. GOVAERTS
How to regress and predict in a Bland and Altman plot? Review and contribution based on tolerance intervals and correlated errors in variables models

DP2015/14 - LÓPEZ-CHEDA, A., CAO, R., JÁCOME, M.A. and I. VAN KEILEGOM
Nonparametric incidence and latency estimation in mixture cure models

DP2015/13 - CADENA, M. and M. DENUIT
Semi-parametric accelerated hazard Relational models with applications to Mortality projections

DP2015/12 - PORTIER, F., EL GHOUCH, A. and I. VAN KEILEGOM
Efficiency and Bootstrap in the Promotion Time Cure Model

DP2015/11 - ROUEFF, F., VON SACHS, R. and L. SANSONNET
Time-frequency analysis of locally stationary Hawkes processes

DP2015/10 - ALONSO, J. and P. DEVOLDER
Optimal mix between pay-as-you-go and funding in a multi-generational Overlapping Generations model

DP2015/09 - ALONSO, J. and P. DEVOLDER
Guarantee valuation in Notional Defined Contribution pension systems

DP2015/08 - DHAENE, J., GODECHARLE, E., ANTONIO, K. and M. DENUIT
On the transferability of reserves in lifelong health insurance contracts

DP2015/07 - DONNEAU A-F., MAUER, M., LAMBERT, P., MOLENBERGHS, G. and A. ALBERT
Simulation-based study comparing multiple imputation methods for non-monotone missing ordinal data in longitudinal settings

DP2015/06 - HAFNER, C., MANNER, H. and L. SIMAR (This discussion paper replaces DP2013/46)
The “wrong skewness” problem in stochastic frontier models: A new approach

DP2015/05 - VARUGHESE, M. , VON SACHS, R., STEPHANOU, M. and B. BASSETT
Nonparametric Transient Classification using Adaptive Wavelets

DP2015/04 - FARAZ, A., WOODALL, W. and C. HEUCHENNE
Guaranteed conditional performance of the S² control chart with estimated parameters

DP2015/03 - JOHANNES, J., SIMONI, A. and R. SCHENK
Adaptive Bayesian estimation in indirect Gaussian sequence space models

DP2015/02 - CHEUNG, K. C., DENUIT, M. and J. DHAENE
Tail mutual exclusivity and Tail-VaR lower bounds

DP2015/01 - ESCANCIANO, J. C., PARDO-FERNANDEZ, J. C. and I. VAN KEILEGOM
Asymptotic distribution-free tests for semiparametric regressions

DP2014/56 - D. PIERRET
Systemic risk and the solvency-liquidity nexus of banks

DP2014/55 - DHAENE, J., STASSEN, B., DEVOLDER, P. and M. VELLEKOOP
The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks

DP2014/54 - DENUIT, M. and J. TRUFIN
Model points and Tail-VaR in life insurance

DP2014/53 - DEVOLDER, P. and A. LEBEGUE
Iterated VaR or CTE Measures: a False Good Idea?

DP2014/52 - HAMBUCKERS, J. and C. HEUCHENNE
A new methodological approach for error distributions selection in Finance

DP2014/51 - HEUCHENNE, C. and G. LAURENT
Parametric conditional variance estimation in location-scale models with censored data

DP2014/50 - HEUCHENNE, C. and G. LAURENT
Nonparametric regression with cross-sectional data: an alternative to conditional product-limit estimators

DP2014/49 - MASTROMARCO C. and L. SIMAR
Global Dependence and Productivity: A Robust Nonparametric World Frontier Analysis

DP2014/48 - DENUIT, M. KIRILIOUK, A. and J. SEGERS
Max-Factor individual risk models with application to credit portfolios

DP2014/47 - NEUMEYER, N., NOH, H. and I. VAN KEILEGOM
Heteroscedastic semiparametric transformation models: estimation and testing for validity

DP2014/46 - BREITUNG, J. and C. HAFNER
A simple model for now-casting volatility series

DP2014/45 - GBARI, S. and M. DENUIT
Stochastic approximations In CBD mortality projection models

DP2014/44 - KIRILIOUK, A., SEGERS. J. and M. WARCHOL
Nonparametric estimation of extremal dependence

DP2014/43 - BIRKE, M., VAN BELLEGEM, S. and I. VAN KEILEGOM
Semi-parametric estimation in a single-index model with endogenous variables

DP2014/42 - PARDO-FERNANDEZ, J.C., JIMENEZ-GAMERO, M.D. and A. EL GHOUCH
Tests for the equality of conditional variance functions in nonparametric regression

DP2014/41 - SCOLAS, S., EL GHOUCH, A., C. LEGRAND, C. ans A. OULHAJ
Variable selection in a flexible parametric mixture cure model with interval-censored data

DP2014/40 - DENUIT, M., LIU, L. and J. MEYER
A separation theorem for the weak S-Convex Orders

DP2014/39 - FRASSO, D., JAEGER, J. and P. LAMBERT
Estimation and approximation in nonlinear dynamic systems using quasilinearization

DP2014/38 - ALONSO-GARCÍA, J., BOADO-PENAS M. and P. DEVOLDER
Automatic balancing mechanisms for Notional Defined Contribution Accounts in thepresence of uncertainty

DP2014/37 - GARCÍA-PORTUGUÉS E., VAN KEILEGOM, I. CRUJEIRAS, R. and W. GONZÁLEZ-MANTEIGA
Testing parametric models in linear-directional regression

DP2014/36 - DENUIT, M. and L. EECKHOUDT
Prudence, Diversification and Optimal Portfolios

DP2014/35 - M. DENUIT, M., HABERMAN, S. and A. RENSHAW
Longevity-Contingent Deferred Life Annuities

DP2014/34 - BERTRAND, A., LEGRAND, C. CARROLL, R. DE MEESTER, C. and I. VAN KEILEGOM
Inference in a Survival Cure Model with Mismeasured Covariates using a SIMEX Approach

DP2014/33 - FÉRAUD, B., GOVAERTS, B., VERLEYSEN, M. and P. DE TULLIO
Statistical treatment of 2D-NMR COSY spectra: data preparation, clustering-based repeatability evaluation and comparison with 1H-NMR

DP2014/32 - CAZALS, C., FÈVE, F., FLORENS, J-P. and L. SIMAR
Non Parametric Instrumental Variables Estimation for Efficiency Frontier

DP2014/31 - STELAND, A. and R. VON SACH
Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series

DP2014/30 - GORROSTIETA, C., OMBAO, H. and R. VON SACHS
Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series

DP 2014/29 - PIGEON, M. and M. DENUIT
Multivariate Skew-Normal Individual Excess-of-Loss Reserving

DP2014/28 - N. UYTTENDAELE
Nested Archimedean copulas: a new class of nonparametric tree structure estimators

DP2014/27 - DEVOLDER, P. and A. LEBEGUE
Time Horizon and Solvency Capital within a Brownian Framework Partially Modulated by a Continuous-Time Markov Chain

DP2014/26 - J. SEGERS
On the asymptotic distribution of the mean absolute deviation about the mean

DP2014/25 - DARAIO, C., BONACCORSI, A. and L. SIMAR
Rankings and university performance: a conditional multidimensional approach

DP2014/24 - SUJICA, A. and I. VAN KEILEGOM
The copula-graphic estimator in censored nonparametric location-scale regression models

DP2014/23 - FLORENS, J-P. and L. SIMAR
Nonparametric Robust Stochastic Frontier Analysis: a Tikhonov Regularization Approach

DP2014/22 - DREES, H., SEGERS, J. and M. WARCHOL
Statistics for Tail Processes of Markov Chains

DP2014/21 - SCHINZINGER, E., DENUIT, M. and M. CHRISTIANSEN
An Evolutionary Credibility Model of Lee-Carter Type for Mortality Improvement Rates

DP2014/20 - BONACCORSI, A., DARAIO, C. and L. SIMAR
Efficiency and economies of scale and scope in European universities: a directional distance approach

DP2014/19 - TAVERNE, C. and P. LAMBERT
Inflated discrete beta regression models for Likert and discrete rating scale outcomes

DP2014/18 - J. SEGERS
Hybrid Copula Estimators

DP2014/17 - COLLING, B. and I. VAN KEILEGOM
Goodness-of-fit tests in semiparametric transformation models

DP2014/16 - DARAIO, C. and L. SIMAR
Efficiency and benchmarking with directional distances: a data driven approach

DP2014/15 - TALAMAKROUNI, M., VAN KEILEGOM, I. and A. EL GHOUCH
Parametrically guided nonparametric density and hazard estimation with censored data

DP2014/14 - PIGEON, M., ANTONIO, K. and M. DENUIT
Individual loss reserving using paid-incurred data

DP2014/13 - CETINYUREK, A. and P. LAMBERT
Semiparametric Bayesian frailty model for clustered interval-censored data

DP2014/12 - SIMAR, L., VAN KEILEGOM, I. and V. ZELENYUK
Nonparametric Least Squares Methods for Stochastic Frontier Models

DP2014/11 - HEUCHENNE, C., SAMB, R. and I. VAN KEILEGOM
Estimating the Residuals Distribution in Semiparametric Transformation Models

DP2014/10 - HAFNER, C. and A. PREMINGER
A note on the Tobit model in the presence of a duration variable

DP2014/09 - BERNARD, C., DENUIT, M. and S. VANDUFFEL
Measuring Portfolio Risk under Partial Dependence Information

DP2014/08 - EINMAHL, J., KIRILIOUK, A., KRAJINA, A. and J. SEGERS
An M-estimator of spatial tail dependence

DP2014/07 - VON SACHS, R. and C. TIMMERMANS
The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction

DP2014/06 - JOHANNES, J., SCHENK, R. and A. SIMONIS
Adaptive Bayesian estimation in Gaussian sequence space models

DP2014/05 - GBARI, S. and M. DENUIT
Efficient approximations for numbers of survivors in the Lee-Carter model

DP2014/04  - CHRISTIANSEN, M.C., DENUIT, M. and J. DHAENE
Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts

DP2014/03  - PIGEON, M., HENRY DE FRAHAN, B. and M. DENUIT
Evaluation of the EU Proposed Farm Income Stabilisation Tool by Skew Normal Linear Mixed Models

DP2014/02  - MESFIOUI M. and M. DENUIT
Comonotonicity, orthant convex order and sums of random variables

DP2014/01  - BÜCHER, A., EL GHOUCH, A. and I. VAN KEILEGOM
Single-index quantile regression models for censored data

DP2013/61 - D. PIERRET
The systemic risk of energy markets

DP2013/60 - BOCART, F. and H. NOH
Investment in art companies: a proxy for physical art?

DP2013/59 - BEN OMRANE, W. and C. HAFNER
Macroeconomic news surprises and volatility spillover in foreign exchange markets

DP2013/58 -  BREUNIG, C. and J. JOHANNES
Adaptive estimation of functionals in nonparametric instrumental regression

DP2013/57 - P. LAMBERT
Spline approximations to conditional Archimedean copula

DP2013/56 - FRASSO, G., JAEGER, J. and P. LAMBERT
Estimation and approximation in multidimensional dynamics

DP2013/55 - MUNDA, M., LEGRAND, C., DUCHATEAU, L. and P. JANSSENS
Testing for Decreasing Heterogeneity Between Hospitals in Time to Death from Chronic Myeloid Leukemia

DP2013/54  - SIMAR, L., VANHEMS, A. and I. VAN KEILEGOM
Unobserved heterogeneity and endogeneity in nonparametric frontier estimation

DP2013/53 - DAOUIA, A., NOH, H. and B.U. PARK
Data envelope fitting with constrained polynomial splines

DP2013/52  - PARK, B.U., SIMAR, L. and V. ZELENYUK
Non-Parametric Approach to Dynamic Time Series Discrete Choice Models

DP2013/51  - KOJADINOVIC, I. ROHMER, T. and J. SEGERS
Detecting changes in cross-sectional dependence in multivariate time series

DP2013/50  - JC., PARDO-FERNANDEZ, RODRIGUEZ-ALVAREZ, M.X. and I. VAN KEILEGOM
A review on roc curves in the presence of covariates

DP2013/49  - BÜCHER, A. and J. SEGERS
Extreme value copula estimation based on block maxima of a multivariate stationary time series

DP2013/48  - KNEIP A., SIMAR, L. and P. WILSON
Testing Hypotheses in Nonparametric Models of Production

DP2013/47  - SIMAR, L. and P. WILSON
Statistical Approaches for Nonparametric Frontier Models: A Guided Tour

DP2013/46  - HAFNER, C., MANNER, H. and L. SIMAR
The "wrong skewness" problem in stochastic frontier models: A new approach

DP2013/45  - KLEIN, N., DENUIT, M., LANG, S. and T. KNEIB
Nonlife Ratemaking and Risk Management with Bayesian Additive Models for Location, Scale and Shape

DP2013/44  - FIECAS, M. and R. VON SACHS
Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series

DP2013/43  - RUSSO, F., MOUCHART, M. and G. WUNSCH
Confounding and Control in a Multivariate System An issue in causal attribution

DP2013/42 - LOEYS, T., LEGRAND, C., SCHETTINO, A. and G. POURTOIS 
Semi-parametric proportional hazards models with crossed random effects for psychometric response times

DP2013/41  - DUNKER, F., FLORENS, J-P., HOHAGE, T., JOHANNES, J. and E. MAMMEN
Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression

DP2013/40  - W. HARDLE, W., DWI PRASTYO, D. and C. HAFNER
Support Vector Machines with Evolutionary Feature Selection for Default Prediction

DP2013/39  - BREMHORST, V. and P. LAMBERT
Flexible estimation in cure survival models using Bayesian P-splines  (content confidential until publication)

DP2013/38 - DARAIO, C. and L. SIMAR
Directional Distances and their Robust versions: Computational and Testing Issues

DP2013/37 - MUNDA, M. and C. LEGRAND
A diagnostic plot for guiding the choice of the frailty distribution in clustered survival data

DP2013/36 - MUNDA, M. and C. LEGRAND
Adjusting for centre differences in multicentre clinical trials: a simulation-based investigation for time-to-event outcomes

DP2013/35 - ESCANCIANO, JC., PARDO-FERNANDEZ, JC. and  I. VAN KEILEGOM
Semiparametric Estimation of Risk-return Relationships

DP2013/34 - YANG, S., EL GHOUCH, A. and I. VAN KEILEGOM
Varying coefficient models having different smoothing variables with randomly censored data

DP2013/33 - BÜCHER, A., JASCHKE, S. and D. WIED 
Nonparametric tests for constant tail dependence with an application to energy and finance

DP2013/32 - HAEDO, C. and M. MOUCHART
Specialized Agglomerations with Areal Data: Model and Detection

DP2013/31  - TIMMERMANS, C. and R. von SACHS (This discussion paper replaces DP1030)
BAGIDIS: Statistically investigating curves with sharp local patterns using a new functional measure of dissimilarity

DP2013/30  - SEGERS, J. van den AKKER, R. and B. WERKER
Semiparametric Gaussian copula models: Geometry and efficient rank-based Estimation

DP2013/29  - BÜCHER, A. and I. KOJADINOVIC
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing

DP2013/28  - BÜCHER, A.
A note on weak convergence of the sequential multivariate empirical process under strong mixing

DP2013/27  - MAMMEN, E., VAN KEILEGOM, I. and K. YU
Expansion for Moments of Regression Quantiles with Applications to Nonparametric Testing

DP2013/26  - GROTHE, O., SCHNIEDERS, J. and J. SEGERS
Measuring Association and Dependence Between Random Vectors

DP2013/25  - LI, D., SIMAR, L. and V. ZELENYUK
To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression

DP2013/24  - SUJICA, A. and I. VAN KEILEGOM
Estimation of location and scale functionals in nonparametric regression under copula dependent censoring

DP2013/23  - NOH, H., EL GHOUCH, A. and I. VAN KEILEGOM
Semiparametric Conditional Quantile Estimation through Copula-Based Multivariate Models

DP2013/22  - PARDO-FERNANDEZ, J.C., JIMENEZ-GAMERO, M.D. and A. EL GHOUCH
A nonparametric ANOVA-type test for regression curves based on characteristic functions

DP2013/21  - DEWE, W., BENOIT, A. and C. LEGRAND
Assessing Vaccine Efficacy in Influenze Clinical Trials - Challenges and Difficulties

DP2013/20 - P. DEVOLDER
Evaluation du coût de la garantie LPC

DP2013/19  - BÜCHER, A., SEGERS, J. and S. VOLGUSHEV
When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs

DP2013/18  - VANHEMS, A. and I. VAN KEILEGOM (This discussion paper replaces DP2011/11)
Semiparametric transformation model with endogeneity: a control function approach

DP2013/17  - JANSSEN, A. and J. SEGERS
Markov Tail Chains

DP2013/16  - DENUIT, M. and M. MESFIOUI
Multivariate higher-degree stochastic increasing convexity

DP2013/15  - MASTROMARCO, C. and L. SIMAR
Effect of FDI and Time on Catching-up: New Insights from a Conditional Nonparametric Frontier Analysis

DP2013/14  - DAOUIA, A., SIMAR, L. and P. WILSON (REVISION)
Measuring Firm Performance using Nonparametric Quantile-type Distances

DP2013/13  - HENDERSON, D., SIMAR, L. and L. WANG
Schooling inputs, property tax caps and effciency scores in public schools

DP2013/12  - KNEIP, A., SIMAR, L. and P. WILSON
When Bias Kills the Variance: Central Limit Theorems for DEA and FDH Efficiency Scores

DP2013/11  - MÜLLER U. and I. VAN KEILEGOM 
Efficient quantile regression with auxiliary information

DP2013/10  - HAFNER C. and O. LINTON
An Almost Closed Form Estimator for the EGARCH

DP2013/09  - SEGERS J. and N. UYTTENDAELE
Nonparametric estimation of the tree structure of a nested Archimedean copula

DP2013/08  - I. VANKEILEGOM
Discussion on: ‘An updated review of Goodness-of-Fit tests for regression models’ (by W. Gonzalez-Manteiga and R.M. Crujeiras)

DP2013/07  - DENUIT, M., and L. LIU
Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance

DP2013/06  - ROUSSEAU, R., FERAUD, B., GOVAERTS, B. and M. VERLEYSEN
Combination of Independent Component Analysis and statistical modelling for the identification of metabonomic biomarkers in ¹H-NMR spectroscopy (second version)

DP2013/05  - DENUIT, M., HUANG, R. and L. TZENG
Almost Expectation and Excess Dependence Notions

DP2013/04  - HOCHEDEZ, J-F., TIMMERMANS, C., HAUCHECORNE, A. and M. MEFTAH
Dark signal correction for a lukecold frame transfer CCD Application to the SODISM solar telescope onboard the PICARD space mission

DP2013/03  - BOCART, F. and C. HAFNER
Fair re-valuation of wine as an investment

DP2013/02  - DENUIT, M., HUANG, R. and L. TZENG
Bivariate Almost Stochastic Dominance

DP2013/01  - EL MEHDI, R. and C. HAFNER
Local government efficiency: The case of Moroccan municipalities

DP2012/41  - LEGRAND, C., MUNDA, M., JANSSEN, P. and L. DUCHATEAU
A general class of time-varying coefficients models for right censored data

DP2012/40 - FORGET, P., MACHIELS, J-P., COULIE, P., BERLIÈRE, M., PONCELET, A., TOMBAL, P., STAINIER, A., LEGRAND, C., CANON, J-L., KREMER, Y. and M. DE KOCK
Neutrophil: lymphocyte ratio and intraoperative use of ketorolac or diflofenac are prognostic factors in breast, lung and kidney cancer surgery (content confidential until publication)

DP2012/39  - FRANCQ, B. and B. GOVAERTS
Hyperbolic confidence bands of errors-in-variables regression lines applied to method comparison studies

DP2012/38  - EL MEHDI, R. and C. HAFNER
Inference in stochastic frontier analysis with dependent error terms

DP2012/37  - FIECAS, M. and R. von SACHS
Spectral Density Shrinkage for High-dimensional Time Series

DP2012/36  - FÈVE, F., FLORENS, J-P. and I. VAN KEILEGOM
Estimation of conditional ranks and tests of exogeneity in nonparametric nonseparable models

DP2012/35  - DAOUIA, A., GIRARD, S. and A. GUILLOU
A Gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fields

DP2012/34  - DENUIT, M., HABERMAN, S. and A. RENSHAW
Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality

DP2012/33  - DENUIT, M., HUANG, R. and L. TZENG
Almost Marginal Conditional Stochastic Dominance

DP2012/32  - SCHWARZ, M., JONGBLOED, G. and I. VAN KEILEGOM
On the identifiability of copulas in bivariate competing risks models

DP2012/31  - WUNSCH, G., MOUCHART, M. and F. RUSSO
Functions and mechanisms in structural-modelling explanation

DP2012/30  - DEVOLDER, P. and G. PISCOPO
Solvency analysis of defined benefit pension schemes

DP2012/29  - DEVOLDER, P., MELIS R. and A. MILLER
Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework

DP2012/28  - DENUIT, M. and M. MESFIOUI
A sufficient condition of crossing-type for the bivariate orthant convex order

DP2012/27  - CHRISTIANSEN, M.C. and M. DENUIT
Worst-case actuarial calculations consistent with single- and multiple-decrement life tables

DP2012/26  - PIGEON, M., HENRY de FRAHAN, B. and M. DENUIT
Evaluation of the EU proposed Farm Income Stabilisation Tool

DP2012/25 - NOH, H. and I. VAN KEILEGOM
Efficient Model Selection in Semivarying Coefficient Models

DP2012/24  - MOREIRA, C., DE UNA-ALVAREZ, J. and I. VAN KEILEGOM
Goodness-of-fit Tests for a Semiparametric Model under Random Double Truncation

DP2012/23  - TALAMAKROUNI, M., EL GHOUCH, A. and I VAN KEILEGOM 
Guided censored regression

DP2012/22  - GONZÀLEZ-MANTEIGA, W., MARTINEZ MIRANDA, M.D. and I. VAN KEILEGOM
Goodness-of-fit Test in Parametric Mixed-Effects Models based on the Estimation of the Error Distribution

DP2012/21 -  NOH, H. and E.R. LEE
Component Selection in Additive Quantile Regression Models

DP2012/20  - NOH, H., CHUNG K. and I. VAN KEILEGOM
Variable Selection of Varying Coefficient Models in Quantile Regression

DP2012/19  - BOCART, F. and C. HAFNER
Volatility of price indices for heterogeneous goods

DP2012/18  - JAEGER, J. and P. LAMBERT
On the use of adhesion parameters to validate models specified using systems of affine differential equations

DP2012/17  - JAEGER, J. and P. LAMBERT
Bayesian penalized smoothing approaches in models specified using affine differential equations with unknown error distributions

DP2012/16 - FIECAS, M., FRANKE, J., von SACHS, R. and J. TADJUIDJE
Shrinkage Estimation for Multivariate Hidden Markov Mixture Models

DP2012/15  - TIMMERMANS , C. and P. FRYZLEWICZ
Shah: Shape-Adaptive Haar Wavelet Transform For Images With Application To Classification

DP2012/14  - DENUIT, M. and B. REY
Uni- And Multidimensional Risk Attitudes: Some Unifying Theorems

DP2012/13  - DE CARVALHO, M., OUMOW, B., SEGERS, J. and M. WARCHOŁ
A Euclidean likelihood estimator for bivariate tail dependence

DP2012/12  - SEGERS, J.
Nonparametric inference for max-stable dependence

DP2012/11  - SEGERS, J.
Max-Stable Models for Multivariate Extremes

DP2012/10  - NOH, N., EL GHOUCH, A. and T. BOUEZMARNI
Copula-Based Regression Estimation and Inference

DP2012/09  - TAAMOUTI, A., BOUEZMARNI, T. and A. EL GHOUCH
Nonparametric Estimation And Inference For Granger Causality Measures

DP2012/08  - DENUIT, M. and L. EECKHOUDT
Improving your chances: An extension of Jindapon and Neilson (2007)

DP2012/07  - DENUIT, M. and L. EECKHOUDT
Risk Attitudes and the Value of Risk Transformations

DP2012/06  - MOREIRA, C. and I. VAN KEILEGOM
Bandwidth Selection for Kernel Density Estimation with Doubly Truncated Data

DP2012/05 - MUNDA, M., ROTOLO, F. and C. LEGRAND
parfm: Parametric Frailty Models in R

DP2012/04  - TIMMERMANS, C., de TULLIO, P., LAMBERT, V., FREDERICH, M., ROUSSEAU, R. and R. von SACHS
Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration

DP2012/03  - HOEBAK HAFF, I. and J. SEGERS
Nonparametric estimation of pair-copula constructions with the empirical pair-copula

DP2012/02  - KNEIP, A., SIMAR, L. and I. VAN KEILEGOM
Boundary estimation in the presence of measurement error with unknown variance  - This discussion paper replaces DP 1046

DP2012/01  - EL GHOUCH, A., GENTON, G.M. and T. BOUEZMARNI
Measuring the Discrepancy of a Parametric Model via Local Polynomial Smoothing

DP2011/45 - DUNKER, F., FLORENS, J.P., HOHAGE, T., JOHANNES, J. and E. MAMMEN
Iterative Estimation of Solutions to Noisy Nonlinear Operator Equations in Nonparametric Instrumental Regression

DP2011/44 - BAUWENS, L., HAFNER C. and S. LAURENT
Volatility Models

DP2011/43 - PIGEON, M., ANTONIO, K. and M. DENUIT
Individual Loss Reserving with the Multivariate Skew Normal Model

DP2011/42 - SIMAR, L. and V. ZELENYUK
To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions

DP2011/41 - DELSOL, L. and I. VAN KEILEGOM
Semiparametric M-Estimation with Non-Smooth Criterion Functions

DP2011/40 - ROTOLO, F., LEGRAND, C.and I. VAN KEILEGOM
Simulation of clustered multi-state survival data based on a copula model

DP2011/39 - BERESWILL, M. and J. JOHANNES
On the effect of noisy observations of the regressor in a functional linear model

DP2011/38 - COMTE, F. and J. JOHANNES
Adaptive functional linear regression

DP2011/37 - JOHANNES, J. and R. SCHENK
Adaptive estimation of linear functionals in functional linear models

DP2011/36 - DAOUIA, A. and B.U. PARK
On Projection-Type Estimators of Multivariate Isotonic Functions

DP2011/35 - SIMAR, L., VANHEMS, A. and P.W. WILSON
Statistical Inference for DEA Estimators of Directional Distances

DP2011/34 - JOHANNES, J. and M. SCHWARZ
Adaptive Gaussian inverse regression with partially unknown operator

DP2011/33 - BADIN, L., DARAIO , C. and L. SIMAR
Explaining Inefficiency in Nonparametric Production Models: the State of the Art

DP2011/32 - DANIEL, B.C., HAFNER , C.M., MANNER, H. and L. SIMAR
Asymmetries in Business Cycles and the Role of Oil Production

DP2011/31 - DAOUIA , A., GARDES, L. and S. GIRARD
On kernel smoothing for extremal quantile regression

DP2011/30 - FLORENS, J.P., SIMAR, L. and I. VAN KEILEGOM
Frontier estimation in nonparametric location-scale models

DP2011/29 - BOCART, F. and C. M. HAFNER
Econometric analysis of volatile art markets

DP2011/28 - BERTRAND, A. and C. M. HAFNER
On heterogeneous latent class models with applications to the analysis of rating scores

DP2011/27 - BOUEZMARNI, T., EL GOUCH, A. and A. TAAMOUTI
Bernstein Estimator for Unbounded Density Copula

DP2011/26 - MÜLLER , U. and I. VAN KEILEGOM
Efficient parameter estimation in regression with missing responses

DP2011/25 - NOH, H., EL GHOUCH, A. and I. VAN KEILEGOM
Quality of fit measures in the framework of quantile

DP2011/24 - NOH, H., EL GHOUCH, A. and I. VAN KEILEGOM
On assessing model adequacy in linear quantile regression

DP2011/23 - SAMB, R., HEUCHENNE, C. and I. VAN KEILEGOM
Estimation of the error density in a semiparametric transformation model

DP2011/22 - HEUCHENNE, C., LAURENT, S., LEGRAND, C. and I. VAN KEILEGOM
Likelihood based inference for semi-competing risks

DP2011/21 - AUTIN, F., FREYERMUTH, J.M. and R. von SACHS
Combining thresholding rules: a new way to improve the performance of wavelet estimators

DP2011/20 - TIMMERMANS, C., DELSOL, L. and R. von SACHS
Using Bagadis in nonparametric functional data analysis: predicting from curves with sharp local features

DP2011/19 - BADIN, L., DARAIO, C. and L. SIMAR (2011)
How to Measure the Impact of Environmental Factors in a Nonparametric Production Model?

DP2011/18 - GUDENDORF , G. and J. SEGERS (2011)
Nonparametric estimation of multivariate extreme-value copulas

DP2011/17 - AUTIN, F., FREYERMUTH, J.M. and R. von SACH (2011)
Block-Threshold-Adapted Estimators via a maxiset approach

DP2011/16 - DEVOLDER, P. and H. TASSA (2011)
Solvency capital, inflation and time horizon in pension liabilities

DP2011/15 - DEVOLDER, P. (2011)
Solvency requirement for long term guarantee: risk measure versus probability of ruin

DP2011/14 - DENUIT, M., EECKHOUDT, L. and H. SCHLESINGER (2011)
When Ross meets Bell: the linex utility function

DP2011/13 - BAUWENS, L., HAFNER, C. and D. PIERRET (2011)
Multivariate volatility modeling of electricity futures

DP2011/12 - KOJADINOVIC, I., SEGERS, J. and J. YAN (2011)
Large-sample tests of extreme-value dependence for multivariate copulas

DP2011/11 - VANHEMS, A. and I. VAN KEILEGOM (2011)
Semiparametric transformation model with endogeneity: a control function approach

DP2011/10 - HUNT, J. and P. DEVOLDER (2011)
Semi-Markov regime switching interest rate models and minimal entropy measure

DP2011/09 - HUNT, J. and P. DEVOLDER (2011)
A semi-Markov regime switching extension of the Vasicek model

DP2011/08 - XI CHEN, S. and I. VAN KEILEGOM (2011)
Estimation in semiparametric models with missing data

DP2011/07 - MOUCHART, M., RUSSO, F. and G. WUNSCH (2011)
Inferring causal relations by modelling structures (anciennement DP1107)

DP2011/06 - HAEDO, C. and M. MOUCHART (2011)
A stochastic independence approach for different measures of global specialization (anciennement DP1106)

DP2011/05 - EINMAHL, J.H.J., KRAJINA, A. and J. SEGERS (2011)
An M-estimator for tail dependence in arbitrary dimensions (anciennement DP1105)

DP2011/04 - DAHLKE, M., JAY BREIDT, F., OPSOMER, J. and I. VAN KEILEGOM (2011)
Nonparametric endogenous post-stratification estimation (anciennement DP1104)

DP2011/03 - VAN KEILEGOM, I. and N. VERAVERBEKE (2011)
Statistical models and methods for dependence in insurance data

DP2011/02 - AUTIN, F., FREYERMUTH, J.-M. and R. von SACHS (2011)
Ideal denoising within a family of tree-structured wavelet estimators

DP2011/01 - JAEGER, J. and P. LAMBERT (2011)
Bayesian generalized profiling estimation in hierarchical linear dynamic systems