Estimation and sampling of copulas in Julia with Copulas.jl

Announce I am proud to annonce the publication and the registration of my new Julia package, Copulas.jl. As it’s name suggests, Copulas.jl is a package that implements methods and tools to work with an arround copulas in the Julia programming language.

Automatic latex resume with github action and gitinfo2 watermark

The problematic A latex-written resume is always a nice thing to have: easy to update, practical to integrate .bib bibliographies, and automatic management of the look (you only provide its content).

Using Git and Github for LaTeX writing

The problematic As an academic, I spend my life writing papers. Since these papers are mostly about math or some applications of math, I am an extensive user of latex.

The `cort` Package is now on Cran !

The cort package is now on cran ! The cort package provides S4 classes and methods to fit several copula models: The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) https://arxiv.

The MBMCL R package for multi-line stochastic reserving

After working on a bootstrapping framework for the Mack model, with a one-year point of view and with several triangles to bootstrap jointly, i decided to put some of my code into a litle package, mbmcl.

Provisionnement et risque de réserve en assurance construction

My actuarial thesis got published online there This work took me a little more than one year to do, an was dealing with non-life reserving in solvency 2 context for the french decenial insurance contracts.

Agregate models with caretEnsemble

Introduction Suppose you have a dataset, and you are narowing possible machine learning models to 2 or 3 models, but you still cant choose which you want : Will the benefit of understandability from my CART cost me too much compare to a random forest or some bootsting ?

Log-normal model for solvency 2 USP

Introduction The log-normal model Generating dummy dataset. Checking model hypohtesis. Log-normality of \(y_t\) Linearity between \(y_t\) and \(x_t\) Results from the model References Introduction Under Solvency 2 framework, insurance compagnies can calculate undertaking specific parameters to modify their application of the standard formula, as dictates Commission-Européenne (2014) .

Mack's model is a Glm !

Which actuary does not know about Mack’s model ? Due to Mack (1991), this model is fairly simple. Suppose you have a triangle. Ok seeing the origin dates of claims, thoose data are old.

Around the Hull-White short-rate model

Après avoir rappelé la dynamique du taux court, sa solution dans le modèle Vasicek, ainsi quelques considérations à propos des …