Yang Lu

(With W. Zhu and J. Zhang) Cyber risk modeling : A discrete multivariate count process approach, in press, Scandinavian Actuarial Journal

(With C. Gourieroux) Noncausal Affine Processes with Application to Derivative Pricing, forthco- ming, Mathematical Finance.

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

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

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

Jaeyoun Ahn, Y. Lu, and Himchan Jeong, A simple Bayesian state-space based dependent collective risk models, 2022(10), pp.1-21, Scandinavian Actuarial Journal.

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

Hong Li, Y. Lu, and Pintao Lyu, Coherent mortality forecasting for less developed countries, 9(9), 2021, Risks.

C. Gourieroux and Y. Lu, Noncausal Counting Processes : A Queuing Perspective, 2021, 15(2), 3852-3891 Electronic Journal of Statistics.

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

Y. Lu, The Predictive Distributions of Thinning-based Count Processes, 48(1), 2021, Scandinavian Journal of Statistics.

Hong Li, Y. Lu and Wenjun Zhu, Dynamic Bayesian Ratemaking : A Markov Chain Approximation Approach, 25(2), 2021 North American Actuarial Journal

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

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

Serge Darolles, Ga ̈elle Le Fol, Y. Lu and Ran Sun : Bivariate Integer-Autoregressive Process with An Application to Mutual Fund Flows, 173, 2019, 181-203, Journal of Multivariate Analysis.

C. Gourieroux and Y. Lu, Least Impulse Response Estimator for Stress Test Exercises, 103, 2019, Journal of Banking and Finance.

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

Hong Li and Y. Lu, Modelling Competing Risks Using Hierarchical Archimedean Copula with Ap- plication to Longevity Forecast, 3, 247-272, (2019), Scandinavian Actuarial Journal.

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

Y. Lu, 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).

Y. Lu, 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.

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

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

C. Gourieroux and Y. Lu, Broken-heart, Common Life, Heterogeneity : Analyzing the Spousal Mor- tality Dependence, 47(3), p. 837-874, (2017), ASTIN Bulletin.

C. Gourieroux and Y. Lu, Love and Death : a Freund Model with Frailty, 63, p. 191-203, (2015), Insurance : Mathematics and Economics.