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Yang Lu

  • Associate Professor, Mathematics and Statistics

Research areas: Actuarial science, finance, time series analysis

Contact information

Email:

yang.lu@concordia.ca

Website:

https://sites.google.com/site/luyangensae/home/research?authuser=0

ORCID:

0000-0002-7141-1048

CV:

View Yang Lu's CV

Biography

PhD 2015, Applied Mathematics, Paris-Dauphine University. Supervisor: Christian Gourieroux
Bsc and Msc 2012, Mathematics, Ecole Normale Superieure Paris.


Past positions:

2012-2015 part-time actuary while doing my PhD, Scor Global Life SE, Paris.
2015-2017 Post-doctoral fellow, Aix-Marseille University, France
2017-2020 Maître de conférences, University of Paris 13. 
2021-2024 Assistant professor, Concordia

Publications

  1. (With Jian Pei∗ and Fukang Zhu) Mixed causal-noncausal process, forthcoming in TEST.

  2. (With C. Gourieroux) SIR models with stochastic transmission, forthcoming Canadian Journal of Statistics.

  3. (With W. Zhu and J. Zhang) Cyber risk modeling : A discrete multivariate count process approach, 2024, 6, Scandinavian Actuarial Journal. DOI

  4. (With Zhanhui Chen, Jinggong Zhang, and Wenjun Zhu) Managing Weather Risk with a Neural Network-Based Index Insurance, 2024, 70(7), Management Science. DOI

  5. (With C. Gourieroux) Noncausal Affine Processes with Application to Derivative Pricing, 33(3), 2023, pp. 766-796, Mathematical Finance.

  6. (With Georges Dionne and Denise Desjardins) Hierarchical random effects for insurance pricing of vehicles belonging to a fleet, 2023, 38(2), pp.242-259, Journal of Applied Econometrics.

  7. (With Dan Zhu) Modeling Mortality : A Bayesian Factor-Augmented VAR (FAVAR) Approach, 2023, 53(1), 29-61, ASTIN Bulletin.

  8. (With Himchan Jeong and Jaeyoun Ahn) A simple Bayesian state-space based dependent collec- tive risk models, 2022(10), pp.1-21, Scandinavian Actuarial Journal.

  9. (With Himchan Jeong and Jaeyoun Ahn) On the ordering of credibility factors, 101(B), 2021, Insurance : Mathematics and Economics.

  10. (With H. Li and P. Lyu∗) Coherent mortality forecasting for less developed countries, 9(9), 2021, Risks.

  11. (With C. Gourieroux) Noncausal Counting Processes : A Queuing Perspective, 2021, 15(2), pp. 3852-3891, Electronic Journal of Statistics.

  12. (With Michel Denuit) Wishart-Gamma Random Effects Model with Applications to Nonlife Insu- rance, 88(2), 2021, Journal of Risk and Insurance

  13. The Predictive Distributions of Thinning-based Count Processes, 48(1), 2021, Scandinavian Jour- nal of Statistics.

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  1. (With Hong Li and Wenjun Zhu) Dynamic Bayesian Ratemaking : A Markov Chain Approximation Approach, 25(2), 2021 North American Actuarial Journal (project funded by an SOA individual research grant of which I am the sole lead investigator).

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

  3. A Simple Parameter-Driven Model for Binary Time Series, 39(2), p.187-199 (2020), Journal of Forecasting.

  4. (With Serge Darolles, Ga ̈elle Le Fol, Ran Sun*) Bivariate Integer-Autoregressive Process with An Application to Mutual Fund Flows, 173, 2019, 181-203, Journal of Multivariate Analysis.

  5. (With C. Gourieroux) Least Impulse Response Estimator for Stress Test Exercises, 103, 2019, Journal of Banking and Finance.

  6. (With C. Gourieroux) Negative Binomial Autoregressive Process with Stochastic Intensity, 40(2), p.225-247 (2019), Journal of Time Series Analysis.

  7. (With Hong Li) Modelling Competing Risks Using Hierarchical Archimedean Copula with Appli- cation to Longevity Forecast, 3, 247-272, (2019), Scandinavian Actuarial Journal.

  8. (With Han Li, Hong Li, Anastasios Panagiotelis) A Forecast Reconciliation Approach to Cause- of-death Mortality Modeling, 86, p.122-133, 2019, Insurance : Mathematics and Economics.

  9. Flexible Panel Regression for Bivariate Count/Continuous Data with Insurance Application,182(4), 1503-1521, 2019, Journal of the Royal Statistical Society, Series A (Statistics in Society).

  10. Dynamic Frailty Count Process in Insurance : A Unified Framework for Estimation, Pricing and Forecasting, 85(4), p.1083-1102, 2018, Journal of Risk and Insurance.

  11. (With Hong Li) A Bayesian Non-parametric Model for Small Population Mortality, 2018(7), p. 605-628, (2018), Scandinavian Actuarial Journal.

  12. (With Hong Li) Coherent Forecasting of Mortality Rates : A Spatial-Temporal Approach, 47(2), p. 563-600, (2017), ASTIN Bulletin.

  13. Broken-heart, Common Life, Heterogeneity : Analyzing the Spousal Mortality Dependence, 47(3), p. 837-874, (2017), ASTIN Bulletin.

  14. (With Christian Gourieroux) Love and Death : a Freund Model with Frailty, 63, p. 191-203, (2015), Insurance : Mathematics and Economics.

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