Publications by arthur charpentier
Please, never use my codes without checking twice (at least)!
I wanted to get back on some interesting experience, following a discussion I had with Carlos after my class, this morning. Let me simplify the problem, and change also the dataset. Consider the following dataset > db = read.table("http://freakonometrics.free.fr/db2.txt",header=TRUE,sep=";") Let me change also one little thing (in the course, we ...
4029 sym R (2973 sym/18 pcs) 6 img
Generating your own normal distribution table
It might sounds incredibly old fashion, but for my the exam for the ACT2121 probability course (to prepare for the exam P of the Society of Actuaries), I will provide a standard normal distribution table. The problem is that it is never the one we’re looking for (sometimes it is the survival function, sometimes it is the cumulative distributio...
1716 sym R (6871 sym/5 pcs) 4 img
Equidistant points on a map
This morning, I had a comment on a recent post, regarding a graph I did upload on the blog, which was extracted from a paper now online (see http://hal.archives-ouvertes.fr/hal-00871883). Jo (from KUL, I guess I can share that piece of information) asked me I was wondering whether you would want to share the R code for plotting figures 1 and 14? ...
2895 sym R (2910 sym/16 pcs) 12 img
GLM, non-linearity and heteroscedasticity
Last week in non-life insurance course, we’ve seen the theory of the Generalized Linear Models, emphasizing the two important components the link function (which is actually the key component in predictive modeling) the distribution, or the variance function Just to illustrate, consider my favorite dataset lin.mod = lm(dist~speed,data=cars...
2073 sym R (1634 sym/5 pcs) 26 img
Pricing Reinsurance Contracts
In order to illustrate the next section of the non-life insurance course, consider the following example1, inspired from http://sciencepolicy.colorado.edu/…. This is the so-called “Normalized Hurricane Damages in the United States” dataset, for the period 1900-2005, from Pielke et al. (2008). The dataset is available in xls format, so we h...
3749 sym R (4304 sym/19 pcs) 14 img
More significant? so what…
Following my non-life insurance class, this morning, I had an interesting question from a student, that I will try to illustrate, and reformulate as accurately as possible. Consider a simple regression model, with one variable of interest, and one possible explanatory variable. Assume that we have two possible models, with the following output (y...
4247 sym R (2345 sym/9 pcs) 14 img
Halloween and candies (a ballot problem)
This year, for Halloween, a post on candies (I promise, next year I will write another post on zombies). But I don’t want to focus on the kids problems (last year, we tried to minimize their walking distance to collect as much candies as possible, with part 1 and part 2), I want to discuss my own problems. Because usually, the kids wear the...
5299 sym R (1019 sym/6 pcs) 54 img
Smoothing mortality rates
This morning, I was working with Julie, a student of mine, coming from Rennes, on mortality tables. Actually, we work on genealogical datasets from a small region in Québec, and we can observe a lot of volatiliy. If I borrow one of her graph, we get something like Since we have some missing data, we wanted to use some Generalized Nonlinear Mode...
2131 sym R (2678 sym/8 pcs) 26 img
Generating functions
Today, I wanted to publish a post on generating functions, based on discussions I had with Jean-Francois while having our coffee after lunch a couple of times already. The other reason is that I publish my post while my student just finished their Probability exam (and there were a few questions on generating functions). A short introduction (ba...
9786 sym R (2010 sym/20 pcs) 224 img
Maximum Likelihood versus Goodness of Fit
Thursday, I got an interesting question from a colleague of mine (JP). I mean, the way I understood the question turned out to be a nice puzzle (but I have to confess I might have misunderstood). The question is the following : consider a i.i.d. sample of continuous variables. We would like to choose between two (parametric) families for the dis...
3626 sym R (1851 sym/8 pcs) 28 img