Article

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Kyriakou, I. ORCID: 0000-0001-9592-596X, Nielsen, J. P. ORCID: 0000-0001-6874-1268 & Vodička, P.view all authors (2022). On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. European Journal of Operational Research, doi: 10.1016/j.ejor.2022.10.003

Gámiz Pérez, M. L., Mammen, E., Martinez-Miranda, M. D. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2022). Missing link survival analysis with applications to available pandemic data. Computational Statistics & Data Analysis, 169, 107405. doi: 10.1016/j.csda.2021.107405

Guillen, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Perez-Marin, A. M. (2021). Near-miss telematics in motor insurance. Journal Of Risk And Insurance, 88(3), pp. 569-589. doi: 10.1111/jori.12340

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scholz, M.view all authors (2021). Short-term exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons. Mathematics, 9(6), 620. doi: 10.3390/math9060620

Nielsen, J. P. ORCID: 0000-0002-2798-0817, Mammen, E., Martiınez-Miranda, M. D. & Vogt, M.view all authors (2020). Calendar effect and in-sample forecasting. Insurance: Mathematics and Economics, 96, pp. 31-52. doi: 10.1016/j.insmatheco.2020.10.003

Hiabu, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scheike, T. (2020). Non-Smooth Backfitting for Excess Risk Additive Regression Model with Two Survival Time-Scales. Biometrika, doi: 10.1093/biomet/asaa058

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Scholz, M.view all authors (2020). Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case. Mathematics, 8(6), 927. doi: 10.3390/math8060927

Hiabu, M., Mammen, E., Maria Dolores, M-M. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2020). Smooth backfitting of proportional hazards with multiplicative components. Journal of the American Statistical Association, doi: 10.1080/01621459.2020.1753520

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Vodička, P.view all authors (2020). Long-term real dynamic investment planning. Insurance: Mathematics and Economics, 92, pp. 90-103. doi: 10.1016/j.insmatheco.2020.03.002

van den Berg, G., anys, L., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2020). A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models. Journal of Econometrics, doi: 10.1016/j.jeconom.2019.05.025

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. U.view all authors (2020). Nonparametric regression with parametric help. Electronic Journal of Statistics, 14(2), pp. 3845-3868. doi: 10.1214/20-EJS1760

Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2020). Special Issue “Machine Learning in Insurance”. Risks, 8(2), 54. doi: 10.3390/risks8020054

Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Scholz, M. & Sperlich, S.view all authors (2019). Conditional variance forecasts for long-term stock returns. Risks, 7(4), 113. doi: 10.3390/risks7040113

Guillen, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Pérez-Marín, A. & Elpidorou, V.view all authors (2019). Can automobile insurance telematics predict the risk of near-miss events?. North American Actuarial Journal, doi: 10.1080/10920277.2019.1627221

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. & Scholz, M.view all authors (2019). Forecasting benchmarks of long-term stock returns via machine learning. Annals of Operations Research, doi: 10.1007/s10479-019-03338-4

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2019). Communication and personal selection of pension saver's financial risk. European Journal of Operational Research, 274(3), pp. 1102-1111. doi: 10.1016/j.ejor.2018.10.038

Guillén, M., Nielsen, J. P. ORCID: 0000-0002-2798-0817, Ayuso, M. & Perez-Marin, A. M.view all authors (2019). The use of telematics devices to improve automobile insurance rates. Risk Analysis, 39(3), pp. 662-672. doi: 10.1111/risa.13172

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. U.view all authors (2019). Generalised additive dependency inflated models including aggregated covariates. Electronic Journal of Statistics, 13(1), pp. 67-93. doi: 10.1214/18-EJS1515

Bischofberger, S., Hiabu, M., Mammen, E. & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2019). A comparison of in-sample forecasting methods. Computational Statistics and Data Analysis, 137, pp. 133-154. doi: 10.1016/j.csda.2019.02.009

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2018). Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion. British Actuarial Journal, 23(e29), doi: 10.1017/S1357321718000272

Gámiz Pérez, M. L., Martinez-Miranda, M. D. & Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018). Multiplicative local linear hazard estimation and best one-sided cross-validation. Journal of Machine Learning, 19, pp. 1-29.

Ayuso, M., Guillén, M. & Nielsen, J. P. (2018). Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data. Transportation, doi: 10.1007/s11116-018-9890-7

Bolance, C., Guillén, M., Nielsen, J. P. & Thuring, F.view all authors (2018). Exposure to risk and zero accident claims in automobile insurance. Risks, 6(1), 9. doi: 10.3390/risks6010009

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Nielsen, J. P. ORCID: 0000-0002-2798-0817view all authors (2018). Self-selection and risk sharing in a modern world of life-long annuities. British Actuarial Journal, 23, doi: 10.1017/s135732171800020x

Donnelly, C., Guillén, M., Nielsen, J. P. & Pérez-Marín, A. M.view all authors (2018). Implementing individual savings decisions for retirement with bounds on wealth. ASTIN Bulletin, 48(1), pp. 111-137. doi: 10.1017/asb.2017.34

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 & Park, B. P.view all authors (2018). In-sample forecasting: A brief review and new algorithms. ALEA - Latin American Journal of Probability and Mathematical Statistics, 15, pp. 875-895. doi: 10.30757/ALEA.v15-33

Bräutigam, M., Guillén, M. & Nielsen, J. P. (2017). Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines. Geneva Papers on Risk and Insurance: Issues and Practice, 42(3), pp. 406-422. doi: 10.1057/s41288-017-0056-1

Lee, Y. K., Mammen, E., Nielsen, J. P. & Park, B. U.view all authors (2017). Operational time and in-sample density forecasting. Annals of Statistics, 45(3), pp. 1312-1341. doi: 10.1214/16-AOS1486

Hiabu, M., Mammen, E., Martinez-Miranda, M. D. & Nielsen, J. P.view all authors (2016). In-Sample Forecasting with Local Linear Survival Densities. Biometrika, 103(4), pp. 843-859. doi: 10.1093/biomet/asw038

Gámiz Pérez, M. L., Mammen, E., Miranda, M. D. M. & Nielsen, J. P.view all authors (2016). Double one-sided cross-validation of local linear hazards. Journal of the Royal Statistical Society: Series B, 78(4), pp. 755-779. doi: 10.1111/rssb.12133

Scholz, M., Sperlich, S. & Nielsen, J. P. (2016). Nonparametric long term prediction of stock returns with generated bond yields. Insurance: Mathematics and Economics, 69, pp. 82-96. doi: 10.1016/j.insmatheco.2016.04.007

Haibu, M., Margraf, C., Miranda, M. D. M. & Nielsen, J. P.view all authors (2016). The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions. British Actuarial Journal, 21(1), pp. 97-116. doi: 10.1017/S1357321715000288

Haibu, M., Margraf, C., Miranda, M. D. M. & Nielsen, J. P.view all authors (2016). Cash flow generalisations of non-life insurance expert systems estimating outstanding liabilities. Expert Systems with Applications, 45, pp. 400-409. doi: 10.1016/j.eswa.2015.09.021

Martinez-Miranda, M. D., Nielsen, B. & Nielsen, J. P. (2016). A simple benchmark for mesothelioma projection for Great Britain. Occupational and Environmental Medicine, 73, pp. 561-563. doi: 10.1136/oemed-2015-103303

Hiabu, M., Miranda, M. D. M., Nielsen, J. P. , Spreeuw, J., Tanggaard, C. & Villegas, A.view all authors (2015). Global Polynomial Kernel Hazard Estimation. Revista Colombiana de Estadística, 38(2), pp. 399-411. doi: 10.15446/rce.v38n2.51668

Martinez-Miranda, M. D., Nielsen, J. P., Verrall, R. J. & Wüthrich, M. V.view all authors (2015). Double chain ladder, claims development inflation and zero-claims. Scandinavian Actuarial Journal, 2015(5), pp. 383-405. doi: 10.1080/03461238.2013.823459

Nielsen, J. P., Young, K., Mammen, E. & Byeong, U. Pview all authors (2015). Asymptotics for In-Sample Density Forecasting. Annals of Statistics, 43(2), pp. 620-651. doi: 10.1214/14-AOS1288

Mammen, E., Martinez-Miranda, M. D. & Nielsen, J. P. (2015). In-Sample Forecasting Applied to Reserving and Mesothelioma Mortality. Insurance: Mathematics and Economics, 61, pp. 76-86. doi: 10.1016/j.insmatheco.2014.12.001

Donnelly, C., Gerrard, R. J. G., Montserrat, G. & Nielsen, J. P.view all authors (2015). Less is more: increasing retirement gains by using an upside terminal wealth constraint. Insurance: Mathematics and Economics, 64, pp. 259-267. doi: 10.1016/j.insmatheco.2015.06.003

Scholz, M., Nielsen, J. P. & Sperlich, S. (2015). Nonparametric Prediction of Stock Returns Based on Yearly Data: The Long-Term View. Insurance: Mathematics and Economics, 65, pp. 143-155. doi: 10.1016/j.insmatheco.2015.09.011

Mammen, E., Martinez-Miranda, M. D., Nielsen, J. P. & Sperlich, S.view all authors (2014). Further theoretical and practical insight to the do-validated bandwidth selector. Journal of the Korean Statistical Society, 43(3), pp. 355-365. doi: 10.1016/j.jkss.2013.11.001

Nielsen, B. & Nielsen, J. P. (2014). Identification and forecasting in mortality models. The Scientific World Journal, 2014, 347043. doi: 10.1155/2014/347043

Martinez-Miranda, M. D., Nielsen, B. & Nielsen, J. P. (2014). Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality. Journal of the Royal Statistical Society. Series A: Statistics in Society, 178(1), pp. 29-55. doi: 10.1111/rssa.12051

Gerrard, R. J. G., Guillén, M., Nielsen, J. P. & Pérez-Marín, A. M.view all authors (2014). Long-run savings and investment strategy optimization. The Scientific World Journal, 2014, 510531. doi: 10.1155/2014/510531

Guillén, M., Jarner, S. F., Nielsen, J. P. & Pérez-Marín, A. M.view all authors (2014). Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment. Scientific World Journal, 2014, 521074. doi: 10.1155/2014/521074

Agbeko, T., Hiabu, M., Miranda, M. D. M. , Nielsen, J. P. & Verrall, R. J.view all authors (2014). Validating the double chain ladder stochastic claims reserving model. Variance: advancing the science of risk, 8(2), pp. 138-160.

Martinez-Miranda, M. D., Nielsen, J. P., Sperlich, S. & Verrall, R. J.view all authors (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588-5603. doi: 10.1016/j.eswa.2013.04.006

Spreeuw, J., Nielsen, J. P. & Jarner, S. F. (2013). A nonparametric visual test of mixed hazard models. SORT - Statistics and Operations Research Transactions, 37(2), pp. 153-174.

Kaishev, V. K., Nielsen, J. P. & Thuring, F. (2013). Optimal customer customer selection for cross-selling of financial services products. Expert Systems with Applications, 40(5), pp. 1748-1757. doi: 10.1016/j.eswa.2012.09.026

Gámiz Pérez, M. L., Janys, L., Martinez-Miranda, M. D. & Nielsen, J. P.view all authors (2013). Bandwidth selection in marker dependent kernel hazard estimation. Computational Statistics and Data Analysis, 68, pp. 155-169. doi: 10.1016/j.csda.2013.06.010

Martinez-Miranda, M. D., Nielsen, J. P. & Verrall, R. J. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101-113. doi: 10.1080/10920277.2013.793158

Gámiz Pérez, M. L., Martinez-Miranda, M. D. & Nielsen, J. P. (2013). Smoothing survival densities in practice. Computational Statistics and Data Analysis, 58(1), pp. 368-382. doi: 10.1016/j.csda.2012.09.011

Martinez-Miranda, M. D., Nielsen, J. P. & Wuethrich, M. V. (2012). Statistical modelling and forecasting of outstanding liabilities in non-life insurance. SORT, 36(2), pp. 195-218.

Martinez-Miranda, M. D., Nielsen, J. P. & Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76.

Mammen, E., Nielsen, J. P. & Fitzenberger, B. (2011). Generalized linear time series regression. Biometrika, 98(4), pp. 1007-1014. doi: 10.1093/biomet/asr044

Mammen, E., Martinez-Miranda, M. D., Nielsen, J. P. & Sperlich, S.view all authors (2011). Do-Validation for Kernel Density Estimation. Journal of the American Statistical Association, 106(494), pp. 651-660. doi: 10.1198/jasa.2011.tm08687

Martinez-Miranda, M. D., Nielsen, B., Nielsen, J. P. & Verrall, R. J.view all authors (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107-129.

Verrall, R. J., Nielsen, J. P. & Jessen, A. H. (2010). Prediction of RBNS and IBNR claims using claim amounts and claim counts. ASTIN Bulletin, 40(2), pp. 871-887.

Linton, O., Nielsen, J. P. & Nielsen, S.F. (2009). Non-parametric regression with a latent time series. ECONOMETRICS JOURNAL, 12(2), pp. 187-207. doi: 10.1111/j.1368-423X.2009.00278.x

Kuang, D., Nielsen, B. & Nielsen, J. P. (2008). Identification of the age-period-cohort model and the extended chain-ladder model. Biometrika, 95(4), pp. 979-986. doi: 10.1093/biomet/asn026

Book Section

Miranda, M. D. M., Nielsen, J. P. & Sperlich, S. (2009). One Sided Crossvalidation for Density Estimation. In: Gregoriou, G.N. (Ed.), Operational Risk Towards Basel III: Best Practices and Issues in Modeling, Management and Regulation. (pp. 177-196). New Jersey: John Wiley and Sons.