Beirlant, Jan

Claeskens, Gerda

Croux, Christophe

Degryse, Hans

Dewachter, Hans

Dhaene, Geert

Dhaene, Jan

Gijbels, Irène

Goovaerts, Marc

Hubert, Mia

Roodhooft, Filip

Schoutens, Wim

Willekens, Marleen

English

Research Papers in Economics

A Comonotonic Image of Dependence for Additive Risk Measures.

A General Bootstrap Approach to Deal with Zero and Negative Values in Stochastic Claims Reserving, working document, work in progress.

A Joint Model for the Term Structure of Interest Rates and the Macroeconomy,

A Measure of Comovement for Economic Variables: Theory and Empirics,

A Path Integral Approach to Asset-Liability Management, work in progress.

A Perfect Calibration! Now what?, Wilmott Magazine,

A Robust Estimator for Tail Index of Pareto-Type Distributions,

A Robust Measure of Skewness,

A Yield-Factor Model of Interest Rates,

Aggressive Orders and the Resiliency of a Limit Order Market, discussion paper 02.10, (Center for Economic Studies,

An Adjusted Boxplot for Skewed Distributions,

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse,

Asymptotic Properties of GMM Estimators of Stochastic Volatility, Discussion Paper, under review for Econometric Theory. Dhaene,

Auditing. Risk and Assurance,

Bandwidth Selection for Change Point Estimation in Nonparametric Regression,

Bayesian-Motivated Tests of Function Fit and their Asymptotic Frequentist Properties,

Common Factors in Prices, Order Flows and Liquidity,

Comonotonic Approximations for Optimal Portfolio Selection Problems,

Confidence Bounds for Discounted Loss Reserves,

Data-Driven Boundary Estimation in Deconvolution Problems, (Institut de Statistique, Université Catholique de Louvain), Discussion Paper 0420.

Distance, Lending Relationships and Competition,

Economic Capital Allocation Derived from Risk Measures,

Estimating Catastrophic Quantile Levels for Heavy-Tailed Distributions, Insurance:

Estimation of a Support Curve via Order Statistics,

Estimation of Integrated Squared Density Derivatives from a Contaminated Sample,

Fast Cross-Validation of High-Breakdown Resampling Algorithms for PCA, submitted.

Financial Econometrics,

Fitting Multiplicative Models by Robust Alternating Regressions,

Forecasting Using Principal Components from a Large Number of Predictors,

Frequentist Model Average Estimators,

Generalized Linear Mixed Models for Actuarial Longitudinal Data, working document, work in progress.

Geometric Brownian Motion Models for Assets and Liabilities: from Pension Funding to Optimal Dividends, Co-author:

Goodness of Fit via Nonparametric Likelihood Ratios,

Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations, Tijdschrift voor

Indirect Inference,

Information Production and Capital Allocation: Decentralized versus Hierarchical Firms,

International Accounting Standard Board. Insurance Issues Papers. Available at ww.iasb.org.uk under Standards, Project Archives.

International Actuarial Association. A Global Framework for Insurer Solvency Assessment, Report of the Insurer Solvency Assessment Working Party,

Jump-Preserving Regression and Smoothing using Local Linear Fitting: a Compromise, (Institut de Statistique, Université Catholique de Louvain), Discussion Paper 0401.

Limit Order Book as a Market for Liquidity, forthcoming in Review of Financial Studies.

Macro Factors and the Term Structure of Interest Rates,

Markov Chain Monte Carlo Methods for Stochastic Volatility Models,

Model Risk for Exotic and Moment Derivatives,

Modern Actuarial Risk Theory,

On Estimation of Monotone and Concave Frontier Functions,

On the Construction of Two-Dimensional Diffusion Processes Satisfying Wentzell’s Boundary Conditions and its Application to Boundary Value Problems,

On the Distribution of Discounted Loss Reserves using Generalized Linear Models,

On the Use of General Linear Mixed Models in Loss Reserving,

Optimal Portfolio Selection,

P & C RAROC: a Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry,

Presidential Address: Liquidity and Price Discovery,

Pricing Credit Default Swaps under Lévy Models, working paper.

Restricted Likelihood Ratio Lack of Fit Tests Using Mixed Spline Models,

ROBPCA: a New Approach to Robust Principal Components Analysis, Technometrics,

Robust Measures of Tail Weight, to appear in Computational Statistics and Data Analysis.

Robust Regression Quantiles with Censored Data,

Simple Characterisations of Comonotonicity and Countermonotonicity by Extremal Correlations.

Simultaneous Testing in Nonparametric Regression With Discontinuities in the Mean and Variance Functions, working document, work in progress.

Static Hedging of Asian Options under Lévy Models: the Comonotonicity Approach, UCS

Structural Models of the Yield Curve with Stochastic Endpoints,

The Arbitrage-Free Valuation and Hedging of Demand Deposits and Credit Card Loans,

The Focussed Information Criterion,

The Importance of Jumps in Pricing European Options, Reliability Engineering and System Safety,

The Total Cost of Trading Belgian Shares: Brussels versus London,

Managing uncertainty:financial, actuarial and statistical modelling.

https://lirias.kuleuven.be/bitstream/123456789/120754/1/TEM_1_05_Beirlant.pdf

Managing uncertainty:financial, actuarial and statistical modelling.

Abstract

Similar works

Full text

Available Versions

Research Papers in Economics