Publications by arthur charpentier
Forcasting Natural Catastrophes (is rather difficult)
Following my previous post, I wanted to spend more time, on the time series with “global weather-related disaster losses as a proportion of global GDP” over the time period 1990-2016 that Roger Pilke sent me last night. db=data.frame(year=1990:2016, ratio=c(.23,.27,.32,.37,.22,.26,.29,.15,.40,.28,.14,.09,.24,.18,.29,.51,.13,.17,.25,.13,.21,....
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(Advanced) R Crash Course, for Actuaries
In two weeks, the third year of the Data Science for Actuaries program will start. I will be there for the introduction to R. The slides are available online (created with slidify) A markdown is also available. I have to thank Ewen for his help on slidify (especially for the online quizz, and the integration of leaflet maps or the rgl animated g...
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Third Actuarial Pricing Game
With the support of ACTINFO Chair and the (French) Institute of Actuaries, our Third Actuarial Pricing Game starts today ! There is a toolbox file available online, with a description of the game : the rules, the dates, and a description of the datasets 3 datasets : one underwriting and one claims databases, for year 0 (training data) and one u...
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Install R Packages on the Ubuntu Virtual Machine
For the (Advanced) R Crash Course of the Data Science for Actuaries program, we will use the Ubuntu virtual machine. There might be some issues when installing some packages… One trick can be to open a terminal and then to use the sudo command, to install some packages, (after entering the password). Just type (or copy/paste) sudo apt-get ins...
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Advanced Econometrics: Nonlinearities
On Thursday, March 2nd, I will give the first lecture of the PhD course on advanced tools for econometrics, on nonlinearities. Slides are available online. Related To leave a comment for the author, please follow the link and comment on their blog: R-english – Freakonometrics. R-bloggers.com offers daily e-mail updates about R news and tuto...
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Advanced Econometrics: Model Selection
On Thursday, March 23rd, I will give the third lecture of the PhD course on advanced tools for econometrics, on model selection and variable selection, where we will focus on ridge and lasso regressions . Slides are available online. The first part was on on Nonlinearities in Econometric models, and the second one on Simulations. Related To le...
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The U.S. Has Been At War 222 Out of 239 Years
This morning, I discovered an interesting statistic, America Has Been At War 93% of the Time – 222 Out of 239 Years – Since 1776, i.e. the U.S. has only been at peace for less than 20 years total since its birth. I wanted to check, get a better understanding and look at other countries in the world. As always, we can try to extract informa...
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Matching, Optimal Transport and Statistical Tests
To explain the “optimal transport” problem, we usually start with Gaspard Monge’s “Mémoire sur la théorie des déblais et des remblais“, where the the problem of transporting a given distribution of matter (a pile of sand for instance) into another (an excavation for instance). This problem is usually formulated using distributions, a...
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Traveling Salesman
In the second part of the course on graphs and networks, we will focus on economic applications, and flows. The first series of slides are on the traveling salesman problem. Slides are available online. Related To leave a comment for the author, please follow the link and comment on their blog: R-english – Freakonometrics. R-bl...
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The myth of interpretability of econometric models
There are important discussions nowadays about data modeling, to choose between the “two cultures” (as mentioned in Breiman (2001)), i.e. either econometrics models or machine/statistical learning models. We did discuss this issue recently in Econométrie et Machine Learning (so far only in French) with Emmanuel Flachaire and Antoine Ly. One ...
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