Research Publications
De Jong, P. (2006) “Forecasting runoff triangles.” North American Actuarial Journal 10:28-38. ISSN: 1092-02773..
De Jong, P. and Tickle, L (2006) “Extending the Lee-Carter model of mortality projection.” Mathematical Population Studies 13:1-18. ISSN 0889-84802.
De Jong, P. and Ferris, S (2006) “Adverse selection spirals” Astin Bulletin 36: 589-628. ISSN 0515-0361
De Jong, P. (2005) “State space models in Actuarial Science.” Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and P. Morettin, editors), Institute of Mathematics and Statistics, University of São Paulo (2005).
De Jong, P. and Ferris, S. (2005) “Assessing the costs of adverse selection.” The ICFAI Journal of Risk and Insurance, II, p64-82.
De Jong, P. and Penzer, J (2004).
De Jong, P. and S. Chu-Chun-Lin (1994). “Stationary and nonstationary state space models.” Journal of Time Series Analysis 15:151-166.
De Jong, P. (1991). “The diffuse Kalman filter.” Annals of Statistics 2:1073-1083.
De Jong, P. (1991). “Stable algorithms for the state space model” Journal of Time Series Analysis 12:143-157.
De Jong, P. and R. Thompson (1990). “Testing linear hypotheses in the SUR framework with identical explanatory variables.” Research in Finance 8:59-76
De Jong, P. (1989). “Smoothing and interpolation with the state space model.” Journal of the American Statistical Association 84:1085-1088.
De Jong, P. (1988). “A cross validation filter for time series models.” Biometrika 75:594-600.
De Jong, P. and Murray J. Mackinnon (1988). “Covariances for smoothed estimates in state space models.” Biometrika 75:601-2.
De Jong, P. (1988). “The likelihood for a state space model.” Biometrika 75:165-9.
De Jong, P. (1987). “Rational economic data revisions.” Journal of Business and Economic Statistics 5:539-548.
De Jong, P. (1986). “State transition specification in state-space models” Journal of Time Series Analysis 7:213-216.
L.R. Webb and De Jong, P. (1986). “Competitive bidding and the price mechanism.” In Firms and Markets. K.A. Tucker & C. Baden Fuller (eds) 109-129.
De Jong, P. (1985). “An asymptotically efficient regression estimator for variance component time series models.” Methods of Operations Research 50:2
De Jong, P. and M. Greig (1985). “Models and methods for pairing data.” Canadian Journal of Statistics 13:233-241.
R. Turkington, J.L. Harper, P. De Jong, and L. Aarssen (1985). “A reanalysis of interspecific association in an old pasture.” Journal of Ecology 73
De Jong, P. (1984). “A statistical approach to Saaty's scaling method for priorities.” Journal of Mathematical Psychology 28:467-478.
De Jong, P. (1984). “Gauss - a matrix calculator program.” The American Statistician 38:154.
De Jong, P. and M. Greig. “First order Markov chains with a zero diagonal transition matrix.” Biometrics (1984) 40:101-108.
De Jong, P. (1984). “The mean square error of a randomly discounted sequence of uncertain payments.” Insurance: Mathematics and Economics 3:173-178.
De Jong, P. and P.P. Boyle (1983). “Monitoring mortality: a state-space approach.” Journal of Econometrics 23:131-146.
De Jong, P. and B. Zehnwirth (1983). “Credibility theory and the Kalman filter.” Insurance: Mathematics and Economics 2:281-286.
De Jong, P., L.W. Aarssen and R. Turkington (1983). “The use of contact sampling in studies of association in vegetation.” Journal of Ecology 71:54
De Jong, P. and B. Zehnwirth (1983). “Claims reserving, state-space models and the Kalman filter.” Journal of the Institute of Actuaries 110:157-18
De Jong, P., M. Greig and D.B. Madan (1983). “Testing for random pairing.” Journal of the American Statistical Association 78:332-336.
De Jong, P. (1981). “Insurance premiums under demand constraints.” Scandinavian Actuarial Journal 123-126.
De Jong, P., L.W. Aarssen and R. Turkington (1980). “The analysis of contact sampling data.”Oecologia 45:322-324.
De Jong, P. (1978). “Determining the final form of a linear dynamic econometric model.” Journal of Econometrics 8:181-192.
De Jong, P. (1977). “The fast Fourier transform spectral estimator.” Journal of the Royal Statistical Society, Series B 39:327-330.
De Jong, P. (1976). “The recursive fitting of autoregressions.” Biometrika 525-530.
Book Chapters
De Jong, P. (2005) “Smoothing and interpolation with the state space model.” in Readings in unobserved component models (A. Harvey and T Proietti) Oxford University Press, Oxford 2005, pp 68-75. (This work was previously published in 1989) (ISBN 0-19-927865-2)
De Jong P. and Shephard N. (2005) “The simulation smoother for time series models” in Readings in unobserved component models (A. Harvey and T Proietti) Oxford University Press, Oxford, pp 354-366. (This work was previously published in 1995). (ISBN 0-19-927865-2)
Conference Presentations
De Jong, P. (2005) “State space models in actuarial science.” Proceedings of Second Brazilian Conference on Statistical Modelling in Insurance and Finance.Sao Paulo.
De Jong, P (2000) “Likelihood maximization for non linear time series using simulated annealing.” Proceedings of the International Symposium on Frontiers of Time Series Modelling The Institute of Statistical Mathematics. Tokyo.
P.P. Boyle, J. Butterworth and De Jong, P. (1984) . “Models of moral hazard in insurance and finance.” Proceedings of the 22nd International Congress of Actuaries Vol 1. pp 195-207.
De Jong, P. (1984). “The mean square error of a randomly discounted sequence of uncertain payments.” Premium Calculation in Insurance, F.E.C. De Vylder et al. (eds) , pp.449-459. Reidell, Dordrecht.
De Jong, P. and P.P. Boyle (1984). “Monitoring mortality: a state-space approach.” ARCH 2:81-96.
