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Wednesday, August 1 2012

Talk in Menlo Park, at the USGS

Once again, Mathieu will give a talk in California, on our paper on counting processes and earthquakes, in August, at one of the USGS (U.S. Geological Survey) centers, in Menlo Park

Thursday, July 26 2012

Talk in San Diego, at the 2012 Joint Statistical Meetings

Mathieu will be giving a talk by the end of this Month in San Diego, at the 2012 Joint Statistical Meetings of AMS. The talk will be Sunday afternoon, in the session Earthquakes and Environmental Point Processes, in the  Contributed Papers Section on Statistics and the Environment. The paper is still available on the arxiv website, and the slides can be downloaded from the blog.

Tuesday, June 26 2012

Risk Uncertainty and Decision Conference

Marc Henry will present our paper Local Utility and Multivariate Risk Aversion (writen with Alfred Galichon, still available online on http://papers.ssrn.com/at the Risk Uncertainty and Decision Conference in Evanston, IL, at Northwestern University.

I will try to upload the slides soon...

Saturday, June 23 2012

Actuarial models with R, Meielisalp

I will be giving a short course in Switzerland next week, at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The long version of the slides for the course on Actuarial models with R can be found online with the #Rmetrics tag, and the short version will be uploaded soon. There will be some practicals, based on Swiss mortality table for the part on demography. The datasets can be uploaded using the following code,

DEATH=read.table(
"http://freakonometrics.free.fr/DeathsSwitzerland.txt",
header=TRUE,skip=2)
EXPOSURE=read.table(
"http://freakonometrics.free.fr/ExposuresSwitzerland.txt",
header=TRUE,skip=2)
DEATH$Age=as.numeric(as.character(DEATH$Age))
DEATH=DEATH[-which(is.na(DEATH$Age)),]
EXPOSURE$Age=as.numeric(as.character(EXPOSURE$Age))
EXPOSURE=EXPOSURE[-which(is.na(EXPOSURE$Age)),]
  • based on those datasets, plot the log mortality rates for male and female,

  • for those two datasets, plot the log mortality rates in 1900 and 1950, respectively
  • for those two datasets, plot the log mortality rates for the cohort born on 1900 and 1950, respectively
  • on the total dataset (male and female), fit a Lee-Carter model. Plot the age coefficients

  • plot the time coefficients and propose a forecast for that series of estimators.

  • plot the residuals obtained from the regression

  • using those estimates, and the forecasts, project the log-mortality rates

  • extrapolate the survival function of an insured aged 40 in 2000, and compare it with the one obtained on the longitudinal dataset.

  • based on those survival functions, compute actuarial present values for several quantities, e.g. whole life annuities for some insured aged 40, and whole life insurances, and compare those values from 1900 till 2040 (on the graphs below, titles were inverted).

Then, we will briefly mention payment triangles. We will work on the triangle used on http://rworkingparty.wikidot.com/ that can be downloaded below,
OthLiabData=read.csv(
"http://www.casact.org/research/reserve_data/othliab_pos.csv",
header=TRUE, sep=",")
library(plyr)
OL=SumData=ddply(OthLiabData,.(AccidentYear,DevelopmentYear,
DevelopmentLag),summarise,IncurLoss=sum(IncurLoss_H1-BulkLoss_H1),
CumPaidLoss=sum(CumPaidLoss_H1), EarnedPremDIR=
sum(EarnedPremDIR_H1))
LossTri <- as.triangle(OL, origin="AccidentYear",
dev="DevelopmentLag", value="IncurLoss")
Year=as.triangle(OL, origin="AccidentYear",
dev="DevelopmentLag", value="DevelopmentYear")
TRIANGLE=LossTri
TRIANGLE[Year>1997]=NA
Here, the triangle looks like that
> TRIANGLE
dev
origin      1      2      3      4      5      6      7      8      9     10
1988 128747 195938 241180 283447 297402 308815 314126 317027 319135 319559
1989 135147 208767 270979 304488 330066 339871 344742 347800 353245     NA
1990 152400 238665 297495 348826 359413 364865 372436 372163     NA     NA
1991 151812 266245 357430 400405 423172 442329 460713     NA     NA     NA
1992 163737 269170 347469 381251 424810 451221     NA     NA     NA     NA
1993 187756 358573 431410 476674 504667     NA     NA     NA     NA     NA
1994 210590 351270 486947 581599     NA     NA     NA     NA     NA     NA
1995 213141 351363 444272     NA     NA     NA     NA     NA     NA     NA
1996 237162 378987     NA     NA     NA     NA     NA     NA     NA     NA
1997 220509     NA     NA     NA     NA     NA     NA     NA     NA     NA
  • suggest an estimation for the amount of reserves, all years.
  • using a Poisson regression, propose a VaR with level 99.5% for future payments, for all claims that already occurred.

Wednesday, June 6 2012

Claims reserving and IBNR with R

Following previous posts on life contingencies and longevity and mortality models, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The third part of the talk (on Actuarial models with R) will be dedicated to IBNR and claims reserving. A complete set of slides can be downloaded from the blog, but again, only some part will be presented. Note that the slides start with a parallel between mortality tables (in life insurance) and payment triangles (in non-life insurance).

Once again, the codes are from a book on actuarial science in R, written with Christophe Dutang and Vincent Goulet (so far in French) that should appear, some day... The code used in the slides above are based on the following datasets,

> source("http://perso.univ-rennes1.fr/arthur.charpentier/
+ bases.R")
We will built our own functions to derive all quantities. One function used can be found here
> source("http://perso.univ-rennes1.fr/arthur.charpentier/
+ merz-wuthrich-triangle.R")
Finally, note that most of the code can be found in the following library
> library(ChainLadder)

Tuesday, June 5 2012

Talk on natural castrophes at PEARL conference

In a couple of days, Benoit will give a talk at the 9th Conference on Public Economics At the Regional and Local level (PEARL) in Helsinki, in Finland organized by the VATT (Government Institute for Economic Research). The slides are now available on the blog, and the paper is still online here

Monday, June 4 2012

Longevity and mortality dynamics with R

Following the previous post on life contingencies and actuarial models in life insurance, I upload additional material for the short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The second part of the talk (on Actuarial models with R) will be dedicated to longevity and mortality. A complete set of slides can be downloaded from the blog, but again, only some part will be presented.

As mentioned earlier, the codes are from a book on actuarial science in R, written with Christophe Dutang and Vincent Goulet (so far in French) that should appear, some day... The code used in the slides above can be downloaded from here, and datasets are the following,

> DEATH <- read.table(
+ "http://freakonometrics.free.fr/Deces-France.txt",
+ header=TRUE)
> EXPO  <- read.table(
+ "http://freakonometrics.free.fr/Exposures-France.txt",
+ header=TRUE,skip=2)

For additional resources, I will use Rob Hyndman's package on demography, Heather Turner and David Firth's package on generalized nonlinear models (e.g. the slides of the short course Heather gave in Rennes at the UseR! conference in 2009), as well as functions developed by JPMorgan's LifeMetrics (functions are  fully documented in the LifeMetrics Technical Document). All those functions can be obtained using

> library(demography)
> library(gnm)
> source("http://freakonometrics.free.fr/fitModels.R")

Friday, June 1 2012

Life contingencies with R

I will be giving in less than four weeks a short course at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The talk will be on Actuarial models with R, and first part will be dedicated to life insurance. A complete set of slides can be downloaded from the blog, but in the talk, only some part will be presented.

The codes are from a book on actuarial science in R, written with Christophe Dutang and Vincent Goulet (so far in French) that should appear, some day... The code used in the slides can be downloaded from here, and datasets are the following,

> TD <- read.table(
+ "http://perso.univ-rennes1.fr/arthur.charpentier/TD8890.csv",
+ sep=";",header=TRUE)
> TV <- read.table(
+ "http://perso.univ-rennes1.fr/arthur.charpentier/TV8890.csv",
+ sep=";",header=TRUE)

For additional resources, I recommend Emiliano's website, http://www.math.uconn.edu/, with great lectures on life insurance mathematics, and the (new) lifecontinfencies vignette on http://cran.r-project.org/,

> library(lifecontingencies)

Friday, May 25 2012

Talk on multivariate comonotonicity and risk measures, JDS in Brussels

Today is the last day of the Journées de Statistique, in Brussels, http://jds2012.ulb.ac.be/. Alfred gave a survey on "Multivariate comonotonicity, stochastic orders and risk measures" in plenary session, this morning (as invited speaker). I have uploaded the slides.

Thursday, May 10 2012

Basketball: score dynamics and game theory

Tomorrow morning, I will be giving a talk at Mont Tremblant, for the Journées de la Société Canadienne de Sciences Economiques. I will present a joint work - in progress - with Nathalie Colombier and Romuald Elie. Since the working paper is not online yet, I will wait a little bit before uploading the slides. But they will be online, someday (hopefully soon)...

"An important aspect of the strategy of most organizations is the provision of incentives to the employees to meet the organization’s objectives. Typically this implies tying pay to performance (see Prendergast, 1999). In order to reward employees for their effort, firms spend considerable resources on performance evaluations. In many cases, evaluation consists of comparing actual performance to a pre-defined individual target. Another frequently used format is relative performance evaluation. Relative performance evaluation may motivate employees to work harder.But it may also be demoralizing and create an excessively competitive workplace, which may hinder overall performance; see Lazear (1989). Determining the overall impact of relative performance evaluation is crucial for companies. Economic research on relative performance evaluation has mainly focused on the comparison of final performances between competitors,like in tournament theory, and on quantitative and subjective performance ratings (Lazear and Gibbs, 2009). In contrast, what happens during a competition and the impact of feedback frequency on effort have so far received little attention. Following Berger and Pope (2011), we decided to use a basketball application to get a better understanding of the role of the feedback information. Sports datasets allow to observe score and team behavior continuously (during a game but also during the season) which can be use as a proxy of the effort. Berger an Pope (2010) asked ”can loosing lead to winning ?” looking at the impact of the halftime score difference on winning probability in NCAA (college) and NBA(pro) games. More precisely, they studied whether a team loosing at halftime is more likely to win than expected using a logit model. They find that usually the higher the score difference the more likely the are to win. But if the halftime score difference is around 0 they observe a discontinuity: loosing with a small difference (e.g. down by 1 point) can lead to increase the effort and win the game. In this paper we try answer the question when loosing lead to winning ?."

Friday, May 4 2012

Talk on bivariate count times series in finance and risk management

I will be giving a talk on May 4th, at the Mathematical Finance Days, at HEC Montréal, on multivariate dynamic models for counts. The conference is organized by IFM2 (Institut de Finance Mathématique de Montréal). I will be chairing some session and I will give a talk based on the joint paper with Mathieu Boudreault.

The slides can be downloaded from the blog,

"In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer‐valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Pedelis & Karlis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in both directions. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short‐term. An application to risk management and cat‐bond pricing will be discussed."

http://freakonometrics.free.fr/ringfire.gif

Thursday, May 3 2012

Local utility and multivariate risk aversion

Marc will give a talk today at the European Center for Advanced Research in Economics and Statistics (ECARES) today, at ULB in Brussels, based on some joint work with also Alfred (the paper can be found online on http://papers.ssrn.com/).

Monday, April 23 2012

Talk on quantiles at the R Montreal group

This afternoon, I will be giving a two-hour talk at McGill on quantiles, quantile regressions, confidence regions, bagplots and outliers. Before defining (properly) quantile regressions, we will mention regression on (local) quantiles, as on the graph below, on hurricanes,

In order to illustrate quantile regression, consider the following natality database,

base=read.table(
"http://freakonometrics.free.fr/natality2005.txt",
header=TRUE,sep=";")

We can use it produce those nice graphs we can find in several papers, modeling weight of newborns,

u=seq(.05,.95,by=.01)
coefstd=function(u) summary(rq(WEIGHT~SEX+
SMOKER+WEIGHTGAIN+BIRTHRECORD+AGE+ BLACKM+
BLACKF+COLLEGE,data=base,tau=u))$coefficients[,2]
coefest=function(u) summary(rq(WEIGHT~SEX+
SMOKER+WEIGHTGAIN+BIRTHRECORD+AGE+ BLACKM+
BLACKF+COLLEGE,data=base,tau=u))$coefficients[,1]
CS=Vectorize(coefstd)(u)
CE=Vectorize(coefest)(u)

The slides can be downloaded on the blog, as well as the R-code.

Saturday, April 14 2012

Forthcoming events

Mai, juin et juillet correspondent pour les universitaires à la saison des conférences (saison qui sera un peu perturbée pour nous car la session d'hiver risque de se finir fin juin, grève oblige).

Pour commencer la saison, les 3 et 4 mai prochain, à HEC Montréal se déroulent les journées de la finance mathématique, organisées par l'IFM2, http://www.finmat12.uqam.ca/. Je vais y présenter le papier (avec des petits résultats en plus) sur les processus de comptage multivariés, co-écrit avec Mathieu.

Le 52eme congrès de la Société canadienne de science économique (SCSE) se tiendra au Mont Tremblant, du 9 au 11 mai 2012 http://www.scse2012.ca/.J'avais preésenté l'an passé (à Sherbrooke) le papier sur la couverture des catastrophes naturelles. Je devrais participer cette année pour présenter le papier sur la dynamique des matchs de basket (Nathalie, qui voulait présenter le travail ne pouvant s'y rendre), avec de la théorie des jeux non-coopératifs dedans...

Les 44ème journées de la Statistique auront lieu cette année à Bruxelles, du 21 au 25 mai 2012, organisées par la Société Française de Statistique, http://jds2012.ulb.ac.be/. Je ne serais pas présent, mais ayant fait parti du comité scientifique, j'ai pu voir passer un bon nombre de contributions intéressantes. En plus, Alfred sera conférencier en plenière.

Le 31 mai se tiendra un conférence sur la "gender directive" et les impacts pour les assureurs, http://genderdirective.actuariacnam.net/, organisée par Lionel et Gilbert.

Du 24 au 28 juin, le 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering de l'ETH Zurich, se tiendra, en Suisse, https://www.rmetrics.org/, où je serais ravi de retrouver Thierry (qui parlera de gestion de portefeuille).

Enfin, les 2 et 3 juillet 2012 se tiendront les 1ères rencontres R-Bordeaux http://r2012.bordeaux.inria.fr/ avec parmi les conférenciers invités, Pierre, de l'UdM, et dans le comité scientifique Nathalie.

Monday, March 19 2012

Talk in Miami at the Public Choice conference

Last, my co-author Benoît Le Maux gave a talk in Miami at the Second World Congress of the Public Choice Societies (http://www.pubchoicesoc.org/), on natural catastrophes and government intervention (see here for the paper). The slides can be found on the blog.

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