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Yang Lu

Assistant Professor, Mathematics and Statistics

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. 



1. (with Christian Gouriéroux) Love and Death: A Freund model with Frailty, 63, 2015, Insurance: Mathematics and Economics

2. (with Hong Li) Coherent Forecasting of Mortality Rates: A Sparse Vector-Autoregression Approach, 47 (2), 2017, ASTIN Bulletin.

3. Broken-Heart, Common Life, Heterogeneity: Analyzing the Spousal Mortality Dependence, 47 (3), 2017, ASTIN Bulletin.

4. (with Hong Li) A Bayesian Non-parametric Model for Small Population Mortality, 7, 2018 , Scandinavian Actuarial Journal.

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

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

7. (with Hong Li) Modelling Competing Risks Using Hierarchical Archimedean Copula with Application to Longevity Forecast, 3, 2019, Scandinavian Actuarial Journal

8. (with C. Gouriéroux) Negative Binomial Autoregressive Process with Stochastic Intensity, 40(2), 2019, Journal of Time Series Analysis

9. (With Serge Darolles, Gaëlle Le Fol, Ran Sun) Bivariate IntegerAutoregressive Processes with An Application to Mutual Fund Flows, 173, 2019, Journal of Multivariate Analysis

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

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

12. Flexible Panel Regression Model for Bivariate Count/Continuous Data with Insurance Application, volume 182, issue 2, 2019, Journal of the Royal Statistical Society: Series A (Statistics in Society)

13. A Simple Parameter-driven Binary Time Series Model, volume 39, issue 2, Journal of Forecasting.

14.The Predictive Distribution of Thinning-based Count Processes, forthcoming, Scandinavian Journal of Statistics.

15.(With Hong Li and Wenjun Zhu) Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach , forthcoming, North American Actuarial Journal

16. (With Michel Denuit) Wishart-Gamma Random Effects with Applications to Nonlife Insurance, forthcoming, Journal of Risk and Insurance

See my personal webpage Yang Lu - Papers ( for mored details.

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