Publications by arthur charpentier
Statistique de l’assurance STT6705V, partie 11
Last course will be uploaded soon (the links will be here and there). The R code considered is given below. First, we had to work a little bit on the datasets, tabB=read.table("http://perso.univ-rennes1.fr/arthur.charpentier/tabB.csv", sep=";",header=FALSE) ANNEE=tabB[,1] BASEB=tabB[,seq(2,246,by=2)] BASEB=as.matrix(BASEB[,1:100]) AGE=0:ncol(...
1438 sym R (2155 sym/6 pcs) 8 img
Statistique de l’assurance STT6705V, partie 12
The final course (since courses end this week in Montréal) can be watched here and there. The drawings from the course can be downloaded here (including last week’s). First, to come back on last week’s course , we considered Lee-carter model, i.e. Note that it is possible to go a bit further, and to consider something that can be seen as a ...
4322 sym R (1902 sym/10 pcs) 80 img 2 tbl
Statistique de l’assurance STT6705V, partie 12 bis
In the previous post (here) discussing forecasts of actuarial quantities, I did not mention much how to forecast the temporal component in the Lee-Carter model. Actually, many things can be done. Consider here some exponential smoothing techniques (see here for more details). For instance, with a simple model, with an additive err...
2482 sym R (3303 sym/9 pcs) 44 img
Finding roots of functions in actuarial science
The following simple code can be used to find roots of functions (based on the secant algorithm), secant=function(fun, x0, x1, tolerence=1e-07, niter=500){ for ( i in 1:niter ) { x2 <- x1-fun(x1)*(x1-x0)/(fun(x1)-fun(x0)) if (abs(fun(x2)) < tolerence) return(x2) x0 <- x1 x1 <- x2 }} It can be interesting in actuarial science, e.g. to find t...
839 sym R (608 sym/2 pcs) 2 img
Is it that stupid to make extremely long term forecast when studying mortality ?
I received recently a comment by FCA (here) who raised an important question, about forecast in dynamic mortality models. (S)he mentioned that from his(her) point of view, the econometric models I considered were “good to predict for the next, say, 3 or 4 years. Not for the next 50 years…“. Which was the message I tried to stress last year ...
2772 sym R (977 sym/2 pcs) 20 img
I really need to find hot (and sexy) topics
50 days ago (here), I was supposed to be very optimistic about the probability that I could reach a million viewed pages on that blog (over a bit more than two years). Unfortunately, the wind has changed and today, the probability is quite low… base=read.table("millionb.csv",sep=";",header=TRUE) X1=cumsum(base$nombre) base=read.table("million2...
857 sym R (715 sym/1 pcs) 4 img
Tennis and risk management
As mentioned already here, while we were going to Québec City for the workshop, we had interesting discussions in the car, and Maciej mentioned an article recently published in The Actuary, Hence, I wanted to discuss (extremely) rare event probabilities in tennis. The story is simple: in June 2010, at Wimbledon, Nicolas Mahut and John Isner have...
2417 sym R (1787 sym/3 pcs) 12 img
Generating stress scenarios: null correlation is not enough
In a recent post (here, by @teramonagi), Teramonagi mentioned the use of PCA to model yield curve, i.e. to obtain the three factor, “parallel shift“, “twist” and “butterfly“. As in Nelson & Siegel, if m is maturity, is the yield of the curve at maturity m, assume that where β0, β1, β2 and τ, are parameters to be fittedβ0 is in...
2263 sym R (2493 sym/4 pcs) 12 img
From one extreme (0) to another (1): challenge failed, but who cares…
Just after arriving in Montréal, at the beginning of September, I discussed statistics of my blog, and said that it might be possible – or likely – that by new year’s Eve, over a million page would have been viewed on my blog (from Google’s counter, here). By the end of October (here) I was very optimistic, but mi-December...
2060 sym R (988 sym/2 pcs) 6 img
Cursed numbers ?
In Lost, Hugo “Hurley” Reyes played the numbers 4, 8, 15, 16, 23 and 42 at the lottery, and ended up winning the $114-million jackpot. And over the ensuing weeks, everyone around him seems to suffer increasingly bad luck: Hurley’s grandfather dies of a heart attack, his brother’s wife walks out, his mother breaks her ankle while the hous...
1874 sym R (672 sym/1 pcs) 10 img