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.
The CORT algorithm we developped construct a non-parametric copula density estimator through a recursive splitting procedure, CART-like.
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.
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.
`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).
A shiny app that estimate and give some statistic about a bivariate copula given a bivaraite dataset.
Some code do estimate a PDD in certain solvency II settings, corresponding to a Numerical technics exemple in insurence.
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 …