With the reduction of the working-age population and the increase of the population dependency ratio as the main indicators of the diminishing demographic dividend, China's potential growth rate is decreasing. Our results suggest that the demographic dividend contributed to nearly one fourth of...

We propose a new bivariate nonnegative integer-autoregressive (BINAR) model for count process data. We first generalize the existing BINAR(1) model by allowing for dependence between different thinning operators. The extended family allows for intuitive interpretation, as well as tractable...

The Susceptible-Infected-Recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which implies a lack of flexibility and the difficulty to replicate the volatile reproduction numbers observed in practice. We extend the...

With the widespread use of the Internet, many industries have developed rapidly. The economy based on the Internet poses a significant threat to the traditional economy. Live streaming plus e-commerce, which is acknowledged as the current global economic status, is the result of combing live...

The long-term success of low-risk stocks over high-risk stocks runs contrary to the basic finance principle that risk is compensated with higher expected returns. Our paper examines this low-risk anomaly using Coarsened Exact Matching to balance high and low-risk stock portfolios on industry,...

This paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a...

We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma. The resulting count process is Markov, with negative binomial...

Whereas data on return volatilities are available for a large number of assets, this is less frequently the case of covolatilities. We introduce an approach based on static and dynamic Wishart models to solve this problem of missing data. We first discuss the identification of the parameter of...

Multi-state models are widely used in the actuarial modeling of mortality and disability. To account for longevity and time variations in transition rates, the existing literature relies on (parameter-driven) state-space models. Despite its flexibility, the state-space model is computationally...