Yang Lu

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

1. (With C. Gouriéroux) Partial Observability of Volatility Matrices : Identification and Covolatilities

Imputation, forthcoming Mathematical Finance.

2. Jian Pei∗ and Yang Lu, “Forecasting natural disaster frequencies using nonstationary count time

series models”, 2025, 66, Statistical Papers. 

3. Hanieh Amjadian∗, Yang Lu and Patrice Gaillardetz, “Quantifying Model Risk in Property and

Casualty Insurance”, forthcoming Variance (project funded by a Casualty Actuarial Society indi-

vidual grant).

4. Christian Gouri´eroux and Yang Lu, “Markov Determinantal Point Process for Dynamic Random

Sets”, forthcoming Journal of Time Series Analysis.  

5. Jian Pei∗, Yang Lu and Fukang Zhu, “Mixed causal-noncausal process”, 2025, TEST.  

6. Christian Gouri´eroux, Yang Lu, “Susceptible-Infectious-Recovered models with stochastic trans-

mission, 53(2), 2025 Canadian Journal of Statistics.  

7. Yang Lu, Wenjun Zhu and Jinggong Zhang, “Cyber risk modeling : A discrete multivariate count

process approach”, 2024, 6, Scandinavian Actuarial Journal.  

8. Zhanhui Chen, Yang Lu, Jinggong Zhang, and Wenjun Zhu, “Managing Weather Risk with a Neu-

ral Network-Based Index Insurance”, 2024, 70(7), Management Science.  

9. Christian Gouri´eroux and Yang Lu, “Noncausal Affine Processes with Application to Derivative

Pricing”, 33(3), 2023, pp. 766-796, Mathematical Finance.

10. Georges Dionne, Denise Desjardins and Yang Lu,“Hierarchical random effects for insurance pricing

of vehicles belonging to a fleet”, 2023, 38(2), pp.242-259, Journal of Applied Econometrics.

11. Yang Lu and Dan Zhu, “Modeling Mortality : A Bayesian Factor-Augmented VAR (FAVAR) Ap-

proach”, 2023, 53(1), 29-61, ASTIN Bulletin.

12. Jaeyoun Ahn, Himchan Jeong and Yang Lu, “A simple Bayesian state-space based dependent col-

lective risk models”, 2022(10), pp.1-21, Scandinavian Actuarial Journal.

13. Jaeyoun Ahn, Himchan Jeong and Yang Lu, “ On the ordering of credibility factors”, 101(B), 2021,

Insurance : Mathematics and Economics.

14. Hong Li, Yang Lu and Pintao Lyu∗ “Coherent mortality forecasting for less developed countries”,

9(9), 2021, Risks (recipient of SOA grant).

15. Christian Gouri´eroux and Yang Lu, “Noncausal Counting Processes : A Queuing Perspective”,

2021, 15(2), pp. 3852-3891, Electronic Journal of Statistics.

16. Michel Denuit and Yang Lu, “Wishart-Gamma Random Effects Model with Applications to Non-

life Insurance”, 88(2), 2021, Journal of Risk and Insurance

17. Yang Lu, “The Predictive Distributions of Thinning-based Count Processes”, 48(1), 2021, Scandi-

navian Journal of Statistics.

18. Hong Li, Yang Lu and Wenjun Zhu, “Dynamic Bayesian Ratemaking : A Markov Chain Approxi-

mation Approach”, 25(2), 2021 North American Actuarial Journal (project funded by an Society

of Actuaries individual research grant).

19. Yang Lu, “The Distribution of Unobserved Heterogeneity in Competing Risks Models”, 61(2) 681-

696 (2020), Statistical Papers.

20. Yang Lu, “A Simple Parameter-Driven Model for Binary Time Series”, 39(2), p.187-199 (2020),

Journal of Forecasting.

21. Serge Darolles, Ga¨ elle Le Fol, Yang Lu and Ran Sun∗, “Bivariate Integer-Autoregressive Process

with An Application to Mutual Fund Flows”, 173, 2019, 181-203, Journal of Multivariate Analysis.

22. Christian Gouri´eroux and Yang Lu, “Least Impulse Response Estimator for Stress Test Exercises”,

103, 2019, Journal of Banking and Finance.

23. Christian Gouri´eroux and Yang Lu, “Negative Binomial Autoregressive Process with Stochastic

Intensity”, 40(2), p.225-247 (2019), Journal of Time Series Analysis.

24. Hong Li and Yang Lu, “Modelling Competing Risks Using Hierarchical Archimedean Copula with

Application to Longevity Forecast”, 3, 247-272, (2019), Scandinavian Actuarial Journal.

25. Han Li, Hong Li, Yang Lu and Anastasios Panagiotelis, “A Forecast Reconciliation Approach to

Cause-of-death Mortality Modeling”, 86, p.122-133, 2019, Insurance : Mathematics and Economics.

26. Yang Lu, “Flexible Panel Regression for Bivariate Count/Continuous Data with Insurance Appli-

cation”, 182(4), 1503-1521, 2019, Journal of the Royal Statistical Society, Series A (Statistics in

Society).27. Yang 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.

28. Hong Li and Yang Lu, “A Bayesian Non-parametric Model for Small Population Mortality”,

2018(7), p. 605-628, (2018), Scandinavian Actuarial Journal.

29. Hong Li and Yang Lu, “ Coherent Forecasting of Mortality Rates : A Spatial-Temporal Approach”,

47(2), p. 563-600, (2017), ASTIN Bulletin.

30. Yang Lu, “ Broken-heart, Common Life, Heterogeneity : Analyzing the Spousal Mortality Depen-

dence, 47(3), p. 837-874, (2017), ASTIN Bulletin.

31. Christian Gouri´eroux and Yang Lu,“Love and Death : a Freund Model with Frailty”, 63, p. 191-203,

(2015), Insurance : Mathematics and Economics.