Yang Lu
University of Paris
38 Papers
70 Citations
Yang Lu is an academic researcher from University of Paris. The author has contributed to research in topics: Autoregressive model & Random effects model. The author has an hindex of 8, co-authored 36 publications. Previous affiliations of Yang Lu include Concordia University & Concordia University Wisconsin.
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Papers
Love and Death : A Freund Model with Frailty
Christian Gourieroux,Yang Lu +1 more
TL;DR: In this article, the authors introduce new models for analyzing the mortality dependence between individuals in a couple, which allow for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the jump in mortality intensity upon death of spouse (Freund model).
Bivariate integer-autoregressive process with an application to mutual fund flows
TL;DR: In this article, the authors proposed a new family of bivariate nonnegative integer-autoregressive (BINAR) models for count process data, which allows for intuitive interpretation, as well as tractable aggregation and stationarity properties.
24
Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach
Hong Li,Yang Lu,Wenjun Zhu +2 more
TL;DR: This article proposes to approximate the dynamics of the random effects process by a discrete (hidden) Markov chain and replace the intractable Bayesian premium of the original model by that of the approximate MarkovChain model, for which concise, closed-form formula are derived.
17
The Predictive Distributions of Thinning‐based Count Processes
TL;DR: This paper proposes a Taylor's expansion algorithm for these predictive distributions, which is both exact and fast and demonstrates its advantages with respect to existing methods in terms of the computational gain and/or precision.
Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting
TL;DR: In this article, a time series model for count variables encountered in insurance, when the underlying risk factor is time varying and unobservable, was proposed, and the resulting model generalizes the static Poisson-Gamma model and allows for closed form expression for the posterior Bayes (linear or nonlinear) premium.