Yang Lu

University of Paris 13

Assistant professor

99 avenue Jean-Baptiste Clément

Villetaneuse, 93430

France

http://sites.google.com/site/luyangensae/home/research

SCHOLARLY PAPERS

16

DOWNLOADS

592

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

Long-Term Care and Longevity

Number of pages: 69 Posted: 01 Nov 2013 Last Revised: 31 Jul 2014
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 112 (244,981)
Citation 1

Abstract:

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Longevity, Long-Term Care (LTC), Semi-Competing Risks, Treatment effect, Unobserved Heterogeneity, Dynamic Frailty, Partial Observability, Identi

2.

Broken-Heart, Common Life, Heterogeneity: Analyzing the Spousal Mortality Dependence

Number of pages: 41 Posted: 16 Sep 2015 Last Revised: 31 Jul 2018
Yang Lu
University of Paris 13
Downloads 65 (342,544)

Abstract:

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broken-heart, joint annuity, mixed proportional hazard competing risks model, treatment effect, unobserved heterogeneities

3.

A Flexible State-Space Model with Application to Stochastic Volatility

Number of pages: 42 Posted: 23 Nov 2016 Last Revised: 27 Dec 2016
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 60 (356,689)

Abstract:

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Endogenous regime switching, polynomial expansion, composite likelihood, time irreversibility, volatility feedback, copula

4.

Coherent Mortality Forecasting for Less Developed Countries

Number of pages: 34 Posted: 02 Aug 2018
Hong Li, Yang Lu and Pintao Lyu
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Paris 13 and Tilburg University - Department of Econometrics & Operations Research
Downloads 49 (391,753)

Abstract:

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Coherent Mortality Forecasts, Less Developed Countries, Mortality Rotation, Double Logistic Function

5.

Negative Binomial Autoregressive Process with Stochastic Intensity

Number of pages: 36 Posted: 04 Mar 2018 Last Revised: 08 Nov 2018
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 49 (391,753)
Citation 1

Abstract:

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Negative Binomial Process, Autoregressive Gamma, Poisson-Gamma Conjugacy, Intensity, Compound Autoregressive Process, Common Factor, Pairwise Analysis, Health Insurance

6.

The Term Structure of Predictive Distributions is Solvable for Thinning-based Count Processes

Number of pages: 33 Posted: 09 Jan 2018 Last Revised: 09 Oct 2018
Yang Lu
University of Paris 13
Downloads 48 (395,218)
Citation 2

Abstract:

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compound autoregressive process, probabilistic forecast of counts, matrix arithmetic

7.

Least Impulse Response Estimator for Stress Test Exercises

Number of pages: 33 Posted: 04 Aug 2018
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 41 (420,618)

Abstract:

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Basel Regulation, Stress Test, Loss-Given-Default, Impulse Response, Pseudo-Maximum Likelihood, LIR Estimation, Beta Regression, Moebius Transformation

8.

Flexible (Panel) Regression Model for Bivariate Count/Continuous Data with Insurance Application

Number of pages: 25 Posted: 16 Sep 2016
Yang Lu
University of Paris 13
Downloads 40 (424,469)

Abstract:

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mixed data, polynomial expansion, unobserved heterogeneity, sequential forecasting/pricing

9.

Noncausal Affine Processes with Applications to Derivative Pricing

Number of pages: 45 Posted: 08 Feb 2019
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 31 (462,736)
Citation 1

Abstract:

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Derivative Pricing, Term Structure, Affine Process, Noncausal Process, Speculative Bubble, Reverse Time

10.

Large Duration Asymptotics in Bivariate Survival Models with Unobserved Heterogeneity

Number of pages: 37 Posted: 01 Feb 2015 Last Revised: 04 Dec 2015
Yang Lu
University of Paris 13
Downloads 29 (472,402)
Citation 1

Abstract:

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Dependent Competing Risks, Unobserved Heterogeneity, Regular Variation, Nonparametric Identification, Human Longevity.

11.

Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach

Number of pages: 36 Posted: 12 Jan 2019 Last Revised: 25 Jul 2019
Hong Li, Yang Lu and Wenjun Zhu
Warren Centre for Actuarial Studies and Research, University of Manitoba, University of Paris 13 and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 25 (493,417)

Abstract:

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Markov Chain Discretization, Bayesian Premium, Dynamic Random Effect, Risk Heterogeneity

12.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
Downloads 22 (510,483)

Abstract:

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rare event count process, nonlinear forecasting, memory persistence, liquidity risk

13.

Noncausal Count Processes

Number of pages: 52 Posted: 20 Aug 2019 Last Revised: 11 Sep 2019
Christian Gouriéroux and Yang Lu
University of Toronto and University of Paris 13
Downloads 20 (522,107)

Abstract:

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Bubble, Discrete Stable Distribution, Noncausal Process, Infinite Server Queue

Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting

Journal of Risk and Insurance, Vol. 85, Issue 4, pp. 1083-1102, 2018
Number of pages: 20 Posted: 16 Nov 2018
Yang Lu
University of Paris 13
Downloads 1 (684,722)
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Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing and Forecasting

Forthcoming Journal of Risk and Insurance
Posted: 01 Apr 2016 Last Revised: 02 Jan 2018
Yang Lu
University of Paris 13

Abstract:

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stochastic intensity count process, affine process, dynamic frailty, composite likelihood estimation, non-linear pricing/forecasting, bonus-malus

15.

Negative Binomial Autoregressive Process with Stochastic Intensity

Journal of Time Series Analysis, Vol. 40, Issue 2, pp. 225-247, 2019
Number of pages: 23 Posted: 08 Feb 2019
Christian Gouriéroux and Yang Lu
University of Toronto and University of Paris 13
Downloads 0 (669,923)
Citation 2
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Autoregressive gamma, Wishart process, Poisson‐gamma conjugacy, compound autoregressive process, stochastic intensity, pairwise analysis

16.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University

Abstract:

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Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.