Freakonometrics

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.

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

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

> 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

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

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)

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 ?”."

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/).

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.