Yang Lu

Dept. Maths & Statis, Concordia University

Blvd. maisonneuve

Montreal, H4R 3B3

Canada

SCHOLARLY PAPERS

20

DOWNLOADS

935

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (20)

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 Dept. Maths & Statis, Concordia University
Downloads 120 (287,408)
Citation 1

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

2.

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, Dept. Maths & Statis, Concordia University and Tilburg University - Department of Econometrics & Operations Research
Downloads 90 (348,450)
Citation 1

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

3.

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
Dept. Maths & Statis, Concordia University
Downloads 81 (371,427)

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

4.

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 Dept. Maths & Statis, Concordia University
Downloads 80 (374,209)

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

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 Dept. Maths & Statis, Concordia University
Downloads 69 (406,453)
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.

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 Dept. Maths & Statis, Concordia University
Downloads 68 (409,626)
Citation 1

Abstract:

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

7.

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 Dept. Maths & Statis, Concordia University
Downloads 60 (436,628)

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

8.

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
Dept. Maths & Statis, Concordia University
Downloads 56 (451,242)
Citation 4

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compound autoregressive process, probabilistic forecast of counts, matrix arithmetic

9.

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, Dept. Maths & Statis, Concordia University and Nanyang Business School, Nanyang Technological University
Downloads 53 (462,372)

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

10.

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

Number of pages: 25 Posted: 16 Sep 2016
Yang Lu
Dept. Maths & Statis, Concordia University
Downloads 49 (478,332)

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

11.

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 Dept. Maths & Statis, Concordia University
Downloads 46 (491,031)

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

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, Dept. Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University
Downloads 43 (504,419)

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

13.

SIR Model with Stochastic Transmission

Number of pages: 50 Posted: 08 Jan 2021
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and Dept. Maths & Statis, Concordia University
Downloads 38 (528,073)

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SIR Model, Population-at-Risk, Semi-Parametric Model, Mover-Stayer Model, Herd Immunity, Reproductive Number, Stochastic Transmission, Systemic Risk.

14.

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
Dept. Maths & Statis, Concordia University
Downloads 32 (559,346)
Citation 2

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

15.

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

Number of pages: 61 Posted: 23 Feb 2021
University of Montreal - Center for Research on Transportation, HEC Montreal - Department of Finance and Dept. Maths & Statis, Concordia University
Downloads 24 (608,323)

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Hierarchical model, vehicle insurance pricing, posterior ratemaking, random effect, hierarchical random effects, panel data.

16.

A Class of Hierarchical Random Effect Models for Posterior Insurance Ratemaking

Number of pages: 21 Posted: 10 Apr 2020
Yang Lu
Dept. Maths & Statis, Concordia University
Downloads 17 (657,343)

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

17.

Managing Weather Risk with a Neural Network-Based Index Insurance

Nanyang Business School Research Paper No. 20-28
Number of pages: 78 Posted: 24 Mar 2020 Last Revised: 24 Aug 2021
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Dept. Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 7 (734,329)

Abstract:

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weather risk; index insurance; basis risk; neural networks; machine learning

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
Dept. Maths & Statis, Concordia University
Downloads 2 (809,736)
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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
Dept. Maths & Statis, Concordia University

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

19.

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 Dept. Maths & Statis, Concordia University
Downloads 0 (803,887)
Citation 4
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Autoregressive gamma, Wishart process, Poisson‐gamma conjugacy, compound autoregressive process, stochastic intensity, pairwise analysis

20.

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, Dept. Maths & Statis, Concordia University 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: 1
1.

Cyber risk modeling: A discrete multivariate count process approach

Number of pages: 42
Yang Lu, Jinggong Zhang and Wenjun Zhu
Dept. Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 1

Abstract:

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Operational risk, Cyber risk, Systemic and pairwise contagion, Self-excitation, Negative binomial autoregressive process, Generalized Poisson inverse-Gaussian distribution, Discrete stable distribution, Generalized method of moments