R

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) doi:10.

Cort research

The CORT algorithm we developped construct a non-parametric copula density estimator through a recursive splitting procedure, CART-like.

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.

A R package for Multi-boot Mack chain-ladder: mbmcl

`mbmcl` is a simple package that implements a one-year bootstrap in the Braun model, with extension to a mutli-year reserving cases (french decenial insurance).

EstimateCopula (Shiny App)

A shiny app that estimate and give some statistic about a bivariate copula given a bivaraite dataset.

Estimation of some specific life reserve (R + markdown)

Some code do estimate a PDD in certain solvency II settings, corresponding to a Numerical technics exemple in insurence.

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 processus d'Ornstein-Uhlenbeck, nous nous interessons au modèle à un facteur : le modèle de Hull et White. Nous en …