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

17

DOWNLOADS

695

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (17)

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 115 (252,024)
Citation 1

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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 68 (350,255)

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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 64 (361,492)

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

4.

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 58 (379,649)
Citation 1

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

5.

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 57 (382,974)

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

6.

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 55 (389,514)
Citation 1

Abstract:

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

7.

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 50 (406,386)
Citation 4

Abstract:

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compound autoregressive process, probabilistic forecast of counts, matrix arithmetic

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 42 (440,156)

Abstract:

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

9.

Noncausal Count Processes

Number of pages: 53 Posted: 20 Aug 2019 Last Revised: 24 Sep 2019
Christian Gouriéroux and Yang Lu
University of Toronto and University of Paris 13
Downloads 41 (440,156)

Abstract:

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

10.

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 (440,156)

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

11.

Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach

North American Actuarial Journal, Forthcoming
Number of pages: 36 Posted: 12 Jan 2019 Last Revised: 11 Feb 2020
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 38 (452,715)

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

12.

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 32 (479,381)
Citation 2

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

13.

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 31 (484,226)

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

14.
Downloads 2

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hierarchical model, posterior ratemaking, random effect, fleet insurance, Poisson-gamma conjugacy, Negative binomial-beta conjugacy, tilted stable distribution.

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 (714,340)
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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

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

16.

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 (698,441)
Citation 2
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Autoregressive gamma, Wishart process, Poisson‐gamma conjugacy, compound autoregressive process, stochastic intensity, pairwise analysis

17.

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

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

Other Papers (1)

Total Downloads: 3
1.

Neural Network-based Design of Index Insurance

Number of pages: 73 Posted: 24 Mar 2020
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Paris 13, Nanyang Technological University (NTU) - Nanyang Business School and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 3

Abstract:

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weather risk; index insurance; neural network; optimal insurance design; machine learning; big data