Papers

Papers by domain of application: 

Non-life insurance

1. (With Jaeyoun Ahn, HImchan Jeong and Mario Wuthrich) A Classification of Observation-Driven State-Space Count Models for Panel Data, working paper [link]

2. (With Geoges Dionne and Denise Desjardins) Hierarchical random effect model for the insurance pricing of vehicles belonging to the same fleet, 2023, Journal of Applied Econometrics. [working paper version][DOI]

3. (With Zhanhui Chen, Jinggong Zhang and W. Zhu) Managing Weather Risk with a Neural Network-Based Index Insurance, 2023,  Management Science. [working paper version][DOI].

4. (With Wenjun Zhu and Jinggong Zhang) Cyber insurance modeling: A discrete multivariate count process approach, forthcoming, Scandinavian Actuarial Journal [DOI]

5. (With Jaeyoun Ahn and Himchan Jeong) A simple Bayesian state-space based dependent collective risk models, [working paper version] 2022 Scandinavian Actuarial Journal

6. (With Jaeyoun Ahn and Himchan Jeong) On the ordering of credibility factors, 2021, 101(B) [DOI] [working paper version] Insurance: Mathematics and Economics.

7. (With Michel Denuit) Wishart-Gamma Random Effects with Applications to Nonlife Insurance, Journal of Risk and Insurance, 88(2), 2021 [DOI]

8. (With Hong Li and Wenjun Zhu) Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach, 25(2), 2021, North American Actuarial Journal[DOI] [working paper version]

9. Flexible Panel Regression Model for Bivariate Count/Continuous Data with Insurance Application, volume 182, issue 2, 2019, Journal of the Royal Statistical Society: Series A (Statistics in Society) [paper][DOI].

10. Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing and Forecasting,  85(4), 2018 Journal of Risk and Insurance. [DOI] [preprint][online appendix]

Life insurance (longevity risk, long-term care, etc)

1. (With Christian Gourieroux) Longevity and Long-Term Care, revise and resubmit, Journal of Econometrics. [working paper version]

2. (With Dan Zhu) Modelling Mortality: A Bayesian FAVAR Approach, [open access], 2021, ASTIN Bulltin 

3. (With Hong Li and Pintao Lyu) Coherent mortality forecasting for less developed countries, 2021, Risks, [DOI] (open access)

4. (with Hong Li) Modelling Competing Risks Using Hierarchical Archimedean Copula with Application to Longevity Forecast, [DOI],  3, 2019,  Scandinavian Actuarial Journal

5. (With Hong Li, Han Li, Anastasios Panagiotelis) A Forecast Reconciliation Approach to Cause-of-death Mortality Modeling, 86, 2019, Insurance: Mathematics and Economics [DOI]

6. The Distribution of Unobserved Heterogeneity in Competing Risks Models,  61(2) 681-696 (2020), Statistical Papers.  [DOI][preprint]  

7. (with Hong Li) A Bayesian Non-parametric Model for Small Population Mortality, 7, 2018 , Scandinavian Actuarial Journal. [DOI] [preprint]

8. Broken-Heart, Common Life, Heterogeneity: Analyzing the Spousal Mortality Dependence,  47 (3), 2017, ASTIN Bulletin.[DOI] [paper]

9. (with Hong Li) Coherent Forecasting of Mortality Rates: A Sparse Vector-Autoregression Approach,  47 (2), 2017, ASTIN Bulletin. [DOI][paper]

10. (with Christian Gouriéroux)  Love and Death: A Freund model with Frailty, 63,  2015, Insurance: Mathematics and Economics [ DOI][paper]  

Finance

I am mainly interested in affine models as well as applications with discrete response variables (such as surrender risk, credit risk). 

1. (With C. Gouriéroux)  Noncausal affine process with applications to derivative pricing, [DOI] (open access), Mathematical Finance.

2. (With Serge Darolles, Gaëlle Le Fol, Ran Sun) Bivariate IntegerAutoregressive Processes with An Application to Mutual Fund Flows, 173, 2019, Journal of Multivariate Analysis, [paper] [DOI].

3. (With C. Gouriéroux) Least Impulse Response Estimator for Stress Test Exercises,  103, 2019, Journal of Banking and Finance, [paper][DOI]

4. (With C. Gouriéroux) Partial Observability of Volatility Matrices: Identification and Covolatilities Imputation, [paper] working paper. 

5. (With C. Gouriéroux and Alain Monfort) Ultra Long Run Term Structure Models, working paper [paper]

Time series for count data

I develop new models for count time series. These models have a wide range of applications, including in insurance/finance, such as to quantify the liquidity of assets or funds. One recent research priority is to develop models that allow for nonstationarity, motivated by the impact of climate change on insurance claims. 

1. (With C.Gouriéroux) Noncausal Counting Processes: A Queuing Perspective [DOI] (open access), 25(12), 2021, Electronic Journal of Statistics.

2. The Predictive Distribution of Thinning-based Count Processes (former title: The Term Structure of Predictive Distributions is Solvable for Thinning-based Count Processes) [paper][DOI], 48(1), 2021, Scandinavian Journal of Statistics. 

3. A Simple Parameter-driven Binary Time Series Model, volume 39, issue 2, 2020, Journal of Forecasting, [paper][DOI].

4.  (with C. Gouriéroux) Negative Binomial Autoregressive Process with Stochastic Intensity, 40(2), 2019,  Journal of Time Series Analysis [DOI]

5. (with C. Gouriéroux) SIR model with stochastic transmission, revised and resubmitted, Journal of Mathematical Biology [link].

6. (with Jian Pei and Fukang Zhu) Mixed causal noncausal process, revise and resubmit, Test [link]

7. (with Jian Pei) Forecasting natural disaster frequencies using nonstationary count time series models [link]

Statistical and risk analysis of discrete random sets (i.e. multivariate Bernoulli variables)

1. (With C. Gourieroux) Markov Determinantal Point Process for Dynamic Random Set, working paper [link]

2. (With C. Gourieroux and Alain Monfort) Risk Analysis of Random Sets with Applications to Basket Derivatives, working paper [link]

3. (With C. Gourieroux) Corrigendum and Comments to Tang and Tang (2023), “The Poisson Binomial Distribution-Old and New, Statistical Science”, working paper [link]