Article

Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. ORCID: 0000-0002-2798-0817 and Scholz, M. (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. and Vogt, M. (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 and 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 and Scholz, M. (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. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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 and Vodička, P. (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. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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 and Park, B. U. (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 and 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. and Sperlich, S. (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. and Elpidorou, V. (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. and Scholz, M. (2019). Forecasting benchmarks of long-term stock returns via machine learning. Annals of Operations Research, doi: 10.1007/s10479-019-03338-4

Lee, Y. K., Mammen, E., Nielsen, J. P. ORCID: 0000-0002-2798-0817 and Park, B. U. (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. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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

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

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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. and 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.

Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I. ORCID: 0000-0001-9592-596X and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2018). Communication and personal selection of pension saver's financial risk. European Journal of Operational Research, doi: 10.1016/j.ejor.2018.10.038

Ayuso, M., Guillén, M. and 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. and Thuring, F. (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 and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (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. and Pérez-Marín, A. M. (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 and Park, B. P. (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. and 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. and Park, B. U. (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. and Nielsen, J. P. (2016). In-Sample Forecasting with Local Linear Survival Densities. Biometrika, 101(4), pp. 843-859. doi: 10.1093/biomet/asw038

Gámiz Pérez, M. L., Mammen, E., Miranda, M. D. M. and Nielsen, J. P. (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. and 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. and Nielsen, J. P. (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. and Nielsen, J. P. (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. and 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. and Villegas, A. (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. and Wüthrich, M. V. (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. and Byeong, U. P (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. and 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. and Nielsen, J. P. (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. and 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. and Sperlich, S. (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. and 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. and 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. and Pérez-Marín, A. M. (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. and Pérez-Marín, A. M. (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. and Verrall, R. J. (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. and Verrall, R. J. (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. and 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. and 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. and Nielsen, J. P. (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. and 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. and 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. and 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. and Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76.

Mammen, E., Nielsen, J. P. and 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. and Sperlich, S. (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. and Verrall, R. J. (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. and 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. and 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. and 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. and 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.