Yang Lu

Risk analysis of random sets with applications to basket derivatives

With Christian Gouriéroux & Alain Monfort

Pricing and hedging in a noncausal Cauchy AR(1) model

With Caleb Danquah & Patrice Gaillardetz

Ultra long run term structure models

With Christian Gouriéroux & Alain Monfort

Linear-type conditional specifications for multivariate count variables

With Wei Sun

Backtesting Expected Shortfall: accounting for both duration and severity using bivariate orthogonal polynomials

With Sullivan Hué & Christophe Hurlin

A simple estimator of the correlation kernel matrix of a determinantal point process

With Christian Gouriéroux

Corrigendum and comments to Tang & Tang (2023), “The Poisson binomial distribution — old and new”

With Christian Gouriéroux

Near-unit-root theory for affine processes

With Gael Anne, Xuewen Yu & Xiaowen Zhou

Markov determinantal point process for dynamic random sets

With Christian Gouriéroux

Estimation of the intercept parameter in an integrated Galton–Watson process

Single author

Partial observability of implied volatility matrices: identification and covolatilities filtering

With Christian Gouriéroux

Backtesting expectile: disentangling unconditional coverage and independence properties

With Jesus Armando de Ita Solis, Mélina Mailhot & Xiaochun Meng

SIR model with stochastic transmission

With Christian Gouriéroux

Mixed causal–noncausal count process

With Jian Pei & Fukang Zhu

Forecasting natural disaster frequencies using nonstationary count time series models

With Jian Pei

Noncausal affine processes with applications to derivative pricing

With Christian Gouriéroux

Noncausal counting processes: a queuing perspective

With Christian Gouriéroux

The predictive distributions of thinning-based count processes

Single author

A simple parameter-driven binary time series model

Single author

Negative binomial autoregressive process with stochastic intensity

With Christian Gouriéroux

Bivariate integer-autoregressive process with an application to mutual fund flows

With Serge Darolles, Gaëlle Le Fol & Ran Sun

Least impulse response estimator for stress test exercises

With Christian Gouriéroux

Modeling and a posteriori ratemaking for multiple perils with the Wishart–gamma random effects model

With Jaeyoun Ahn, Minjeong Park & Minji Park

Accounting for model risk in property and casualty insurance

With Hanieh Amjadian & Patrice Gaillardetz

An observation-driven state-space count model for experience rating

With Jaeyoun Ahn, Himchan Jeong & Mario Wüthrich

Cyber risk modeling: a discrete multivariate count process approach

With Wenjun Zhu & Jinggong Zhang

Managing weather risk with a neural network-based index insurance

With Zhanhui Chen, Jinggong Zhang & Wenjun Zhu

Hierarchical random-effects model for the insurance pricing of vehicles belonging to a fleet

With Georges Dionne & Denise Desjardins

A simple Bayesian state-space approach to the collective risk models

With Jaeyoun Ahn & Himchan Jeong

On the ordering of credibility factors

With Jaeyoun Ahn & Himchan Jeong

Wishart–gamma random effects models with applications to nonlife insurance

With Michel Denuit

Dynamic Bayesian ratemaking: a Markov chain approximation approach

With Hong Li & Wenjun Zhu

Flexible (panel) regression models for bivariate count–continuous data with an insurance application

Single author

Dynamic frailty count process in insurance: a unified framework for estimation, pricing, and forecasting

Single author

Longevity and long-term care

With Christian Gouriéroux

Modeling longevity and disability with generalized autoregressive score models

With Pengyu Wei & Mengyi Xu

Modelling mortality: a Bayesian factor-augmented VAR (FAVAR) approach

With Dan Zhu

Coherent mortality forecasting for less developed countries

With Hong Li & Pintao Lyu

The distribution of unobserved heterogeneity in competing risks models

Single author

Modeling cause-of-death mortality using hierarchical Archimedean copula

With Hong Li

A forecast reconciliation approach to cause-of-death mortality modeling

With Hong Li, Han Li & Anastasios Panagiotelis

A Bayesian non-parametric model for small population mortality

With Hong Li

Broken-heart, common life, heterogeneity: analyzing the spousal mortality dependence

Single author

Coherent forecasting of mortality rates: a sparse vector-autoregression approach

With Hong Li

Love and death: a Freund model with frailty

With Christian Gouriéroux