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Actuariat avec R
La liste des documents disponibles sur le site du cran.r-project.org vient de s’enrichir d’un nouveau document, en français, actuariat avec R, écrit avec Christrophe Dutang. Le document est...
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R for actuarial science
As mentioned in the Appendix of Modern Actuarial Risk Theory, “R (and S) is the ‘lingua franca’ of data analysis and statistical computing, used in academia, climate research, computer science,...
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Amsterdam
I will be in Amsterdam for the end of this week. I will be in the jury of the PhD defense of Julien Tomas, entitled “Quantifying Biometric Life Insurance Risks With Non-Parametric Smoothing Methods”...
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Regression tree using Gini’s index
In order to illustrate the construction of regression tree (using the CART methodology), consider the following simulated dataset, > set.seed(1) > n=200 > X1=runif(n) > X2=runif(n) >...
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The law of small numbers
In insurance, the law of large numbers (named loi des grands nombres initially by Siméon Poisson, see e.g. http://en.wikipedia.org/…) is usually mentioned to legitimate large portfolios, because of...
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Introduction aux modèles linéaires généralisés
J’ai un peu d’avance dans le cours. Je vais mettre en ligne les transparents pour la semaine prochaine (normalement), où nous aborderons la classe des modèles linéaires généralisés. Les transparents...
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Overdispersion with different exposures
In actuarial science, and insurance ratemaking, taking into account the exposure can be a nightmare (in datasets, some clients have been here for a few years – we call that exposure – while others have...
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Fréquence de sinistres, et surdispersion
Je continue à mettre en ligne les transparents qui serviront de support pour le cours ACT2040. Dans cette dernière partie sur la modélisation de la fréquence de sinistre, on parlera de surdispersion....
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A random walk ? What else ?
Consider the following time series, What does it look like ? I know, this is a stupid game, but I keep using it in my time series courses. It does look like a random walk, doesn’t it ? If we use...
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Crash course on R for financial and actuarial econometrics
Next Friday, I will give in Montréal a crash course entitled Econometric Modeling in Finance and Insurance with the R Language. Since IFM2 wanted this course to be an opportunity to discover R, the...
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Large claims, and ratemaking
During the course, we have seen that it is natural to assume that not only the individual claims frequency can be explained by some covariates, but individual costs too. Of course, appropriate families...
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Visualizing overdispersion (with trees)
This week, we started to discuss overdispersion when modeling claims frequency. In my previous post, I discussed computations of empirical variances with different exposure. But I did use only one...
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Crash course on R for financial and actuarial econometrics
The crash course announced for this Friday, in Montréal, entitled Econometric Modeling in Finance and Insurance with the R Language, has been canceled by IFM2 – or to be more specific postponed. I will...
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Sorting rows and colums in a matrix (with some music, and some magic)
This morning, I was working on some paper on inequality measures, and for computational reasons, I had to sort elements in a matrix. To make it simple, I had a rectangular matrix, like the one below,...
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Modeling individual losses with mixtures
Usually, the sentence that I keep saying in my regression classes is “please, look at your data“. In our previous post, we’ve been playing like most econometricians: we did not look at the data....
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Génération hackers ?
Je suis régulièrement effaré lorsque j’entends les parents d’ami(e)s de ma fille (la petite dernière) s’extasier que leur enfant arrive à dévérouiller “tout seul !” leur téléphone cellulaire. Le coté...
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Easter
This morning, there was an interesting post entitled “why does Easter move around so much?” online on http://economist.com/blogs/economist-explains/… In my time series classes, I keep saying that...
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Chain Ladder, avec R
Un billet rapide pour mettre en ligne des parties du code tapé en cours, mercredi dernier. On avait commencé par convertir la feuille du classeur excel en un fichier texte, pour faciliter la lecture,...
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In three months, I’ll be in Vegas (trying to win against the house)
In fact, I’m going there with my family and some friends, including two probabilists (I mean professionals, I am merely an amateur), with this incredible challenge: will I be able to convince...
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La belle-mère et la bataille
Ce soir, les enfants voulaient lancer une partie de bataille dix minutes avant de souper. Devant mon peu d’enthousiasme (on ne sait jamais trop quand ce genre de parties finissent), ma belle-mère a...
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