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Calculs de SCR, Solvency Capital Requirements
Pour reprendre le contexte général, Solvency II (l’analogue de la directive CRD pour les banques*) repose sur 3 piliers, définir des seuils quantitatifs de calcul des provisions techniques des fonds...
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Interpréter la corrélation linéaire (2)
Je vais prendre 10 minutes pour continuer la discussion amorcée ici . Le carré de la corrélation est parfois interprété comme la “proportion de variance de Y expliquée par X“. Pour Rodgers and...
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Exchange rates and correlation matrices
I wanted to upload here a small problem I started to work on…. unfortunatley, I could not find (yet) a proper answer. Any comments and suggestions are welcomed. The problem is simple: consider 3...
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Des étés pluvieux en Bretagne ? une réalité statistique…
Pour compléter le précédant billet (ici) on peut se demander en quoi la Bretagne est différente des autres régions françaises… Nous avions vu ici le niveau de précipitation moyen, jour après jours...
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Course on copulas and correlated risks (in French, still)
The course on copulas, in Luminy, starts at 8.30 on Wednesday (here). The slides can be found here.
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Pour une tarification de l’assurance automobile à l’aide du tour de poitrine !
Plusieurs sites spécialisés en assurance commencent à évoquer un arrêté probable de la cour européenne sur la discrimination en assurance (par exemple ici ou là). Une des bases (économiques) de...
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Exchangeability, credit risk and risk measures
Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with...
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Correlations, dimension, and risk measure
Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and...
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Non transitivity of correlation for random vectors in dimension 3
Dependence in dimension 2 is difficult. But one has to admit that dimension 2 is way more simple than dimension 3 ! I recently rediscovered a nice paper, Langford, Schwertman & Owens (2001), on...
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Independence and correlation
A short post to get back on a property I gave briefly in the MAT8595 class in January, and again in the MAT8181 class this week (to illustrate the distinction between weak and strong white noises)....
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Multivariate probit regression using (direct) maximum likelihood estimators
Consider a random pair of binary responses, i.e. with taking values 1 or 2. Assume that probability can be function of some covariates. The Gaussian vector latent structure A standard model is based a...
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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...
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Do risk classes go beyond stereotypes?
Generalization, stereotypes and clichés In Thinking, Fast and Slow, Daniel Kahneman discusses at length the importance of stereotypes in understanding many decision-making processes. A so-called System...
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Du deuxième effet kiss-cool (régression multiple, scoring et évaluation)
Lorsque j’étais petit (il y a fort longtemps, à une époque où je regardais pas mal la télévision) il y avait une publicité pour les pastilles kiss cool, Et quand je présente la régression multiple à...
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