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Papers by Christophe Dutang
Research Papers in Economics, 2013
Hierarchical probability models are widely used for data classified in a tree-like structure and ... more Hierarchical probability models are widely used for data classified in a tree-like structure and in Bayesian inference. The main characteristic of such mod-els is to have the probability law at some level in the classification structure be conditional on the outcome in previous levels. For example, adopting a
The expm package provides an R function expm to compute the matrix exponential of a real, square ... more The expm package provides an R function expm to compute the matrix exponential of a real, square matrix. The matrix exponential of a matrix A is de ned as
The expm packages provides an R function expm to compute the matrix ex-ponential of a real, squar... more The expm packages provides an R function expm to compute the matrix ex-ponential of a real, square matrix. The matrix exponential of a matrix A is defined as
R topics documented: balance........................................... 2 expAtv.................... more R topics documented: balance........................................... 2 expAtv............................................ 3 expm............................................ 5 expm.Higham08....................................... 9 expmCond.......................................... 12 expmFrechet........................................ 13 logm............................................. 15 matpow........................................... 16 matStig........................................... 17 sqrtm............................................ 18 1 2 balance Index 20 balance Balance a Square Matrix via LAPACK’s DGEBAL Description Balance a square matrix via LAPACK’s DGEBAL. This is an R interface, mainly used for experimentation. This LAPACK routine is used internally for Eigenvalue decompositions, but also, in Ward(1977)’s algorithm for the matrix exponential. The name balance() is preferred nowadays, where “dgebal ” will probably become deprecated. Usage balance(A, job = c("...
This video is the third example of the forthcoming paper 'A family of distributions tailored ... more This video is the third example of the forthcoming paper 'A family of distributions tailored to skewed and fat tails' by Patrice Kiener. Four parameters K2, K3 and K4 distributions mentionned in the paper are used to analyze the distribution of the daily log-returns of eight financial assets (Gold bullion, Societe Generale, Vivendi, EURUSD exchange rate, VIX, CAC40, DJIA, SP500) during the period January 2007 - December 2013. The data come from the extractData() dataset available in the R package FatTailsR. The video displays the plots of the empirical distributions and their estimates as well as the plot of the logit of the distribution function, which is used for the parameter estimation, over the whole period and for each year. The main results are: (1) The eight assets are perfectly described by K2, K3 and K4 distributions which exhibit high flexibility and excellent adjustment capabilities to the data. (2) The Value-at-Risk (VaR) and the Expected Shortfall (ES) are easi...
Exposure rating is a tool for insurance pricing that allocates premium to bands of damage ratios ... more Exposure rating is a tool for insurance pricing that allocates premium to bands of damage ratios or severity of losses. First ideas were published in (Salzmann 1963). It is often used to price non-proportional reinsurance contracts, such as excess of loss (XL) reinsurance. Exposure rating uses the loss experience of a similar portfolio of policies to estimate the expected losses of the portfolio to be covered. The method is frequently used as a benchmark when there is no sufficient credible claims history from the client. In this vignette, we first present the general notation and concepts of loss modelling. Secondly, we focus on destruction models implemented in the mbbefd package. One popular model uses the MBBEFD distribution introduced by (Bernegger 1997). Finally, we provide an example of pricing of XL contract.
Etude des marchés d’assurance non-vie à l’aide d’équilibres de Nash et de modèles de risques avec... more Etude des marchés d’assurance non-vie à l’aide d’équilibres de Nash et de modèles de risques avec dépendance THÈSE Numéro d’ordre 70-2012
Supplementary materials for a forthcoming paper entitled 'a Review of R Neural Network Packag... more Supplementary materials for a forthcoming paper entitled 'a Review of R Neural Network Packages (with NNbenchmark): Accuracy and Ease of Use'
Risk theory refers to a body of techniques to model and measure the risk associated with a portfo... more Risk theory refers to a body of techniques to model and measure the risk associated with a portfolio of insurance contracts. A first approach consists in modeling the distribution of total claims over a fixed period of time using the classical collective model of risk theory. A second input of interest to
actuar is a package providing additional Actuarial Science functionality to the R sta-tistical sy... more actuar is a package providing additional Actuarial Science functionality to the R sta-tistical system. The project was launched in 2005 and the package is available on the Comprehensive R Archive Network since February 2006. The current version of the pack-age contains functions for use in the fields of loss distributions modeling, risk theory (including ruin theory), simulation of compound hierarchical models and credibility the-ory. This paper presents in detail but with few technical terms the most recent version of the package.
Title toolbox for pseudo and quasi random number generation and RNG tests.
R topics documented: balance........................................... 2 expAtv.................... more R topics documented: balance........................................... 2 expAtv............................................ 3 expm............................................ 5 expm.Higham08....................................... 9 expmCond.......................................... 12 expmFrechet........................................ 13 logm............................................. 15 matpow........................................... 16 matStig........................................... 17 sqrtm............................................ 18 1 2 balance Index 20 balance Balance a Square Matrix via LAPACK’s DGEBAL Description Balance a square matrix via LAPACK’s DGEBAL. This is an R interface, mainly used for experimentation. This LAPACK routine is used internally for Eigenvalue decompositions, but also, in Ward(1977)’s algorithm for the matrix exponential. The name balance() is preferred nowadays, where “dgebal ” will probably become deprecated. Usage balance(A, job = c("...
Description Various actuarial science functionalities, mostly in the fields of loss distributions... more Description Various actuarial science functionalities, mostly in the fields of loss distributions, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory. The package also features 17 probability laws commonly used in insurance, mostly heavy tailed distributions. Depends R (> = 2.6.0) Imports stats, graphics
Description Additional actuarial science functionality, mostly in the fields of loss distribution... more Description Additional actuarial science functionality, mostly in the fields of loss distributions, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory, for the moment.
Research Papers in Economics, 2013
Hierarchical probability models are widely used for data classified in a tree-like structure and ... more Hierarchical probability models are widely used for data classified in a tree-like structure and in Bayesian inference. The main characteristic of such mod-els is to have the probability law at some level in the classification structure be conditional on the outcome in previous levels. For example, adopting a
The expm package provides an R function expm to compute the matrix exponential of a real, square ... more The expm package provides an R function expm to compute the matrix exponential of a real, square matrix. The matrix exponential of a matrix A is de ned as
The expm packages provides an R function expm to compute the matrix ex-ponential of a real, squar... more The expm packages provides an R function expm to compute the matrix ex-ponential of a real, square matrix. The matrix exponential of a matrix A is defined as
R topics documented: balance........................................... 2 expAtv.................... more R topics documented: balance........................................... 2 expAtv............................................ 3 expm............................................ 5 expm.Higham08....................................... 9 expmCond.......................................... 12 expmFrechet........................................ 13 logm............................................. 15 matpow........................................... 16 matStig........................................... 17 sqrtm............................................ 18 1 2 balance Index 20 balance Balance a Square Matrix via LAPACK’s DGEBAL Description Balance a square matrix via LAPACK’s DGEBAL. This is an R interface, mainly used for experimentation. This LAPACK routine is used internally for Eigenvalue decompositions, but also, in Ward(1977)’s algorithm for the matrix exponential. The name balance() is preferred nowadays, where “dgebal ” will probably become deprecated. Usage balance(A, job = c("...
This video is the third example of the forthcoming paper 'A family of distributions tailored ... more This video is the third example of the forthcoming paper 'A family of distributions tailored to skewed and fat tails' by Patrice Kiener. Four parameters K2, K3 and K4 distributions mentionned in the paper are used to analyze the distribution of the daily log-returns of eight financial assets (Gold bullion, Societe Generale, Vivendi, EURUSD exchange rate, VIX, CAC40, DJIA, SP500) during the period January 2007 - December 2013. The data come from the extractData() dataset available in the R package FatTailsR. The video displays the plots of the empirical distributions and their estimates as well as the plot of the logit of the distribution function, which is used for the parameter estimation, over the whole period and for each year. The main results are: (1) The eight assets are perfectly described by K2, K3 and K4 distributions which exhibit high flexibility and excellent adjustment capabilities to the data. (2) The Value-at-Risk (VaR) and the Expected Shortfall (ES) are easi...
Exposure rating is a tool for insurance pricing that allocates premium to bands of damage ratios ... more Exposure rating is a tool for insurance pricing that allocates premium to bands of damage ratios or severity of losses. First ideas were published in (Salzmann 1963). It is often used to price non-proportional reinsurance contracts, such as excess of loss (XL) reinsurance. Exposure rating uses the loss experience of a similar portfolio of policies to estimate the expected losses of the portfolio to be covered. The method is frequently used as a benchmark when there is no sufficient credible claims history from the client. In this vignette, we first present the general notation and concepts of loss modelling. Secondly, we focus on destruction models implemented in the mbbefd package. One popular model uses the MBBEFD distribution introduced by (Bernegger 1997). Finally, we provide an example of pricing of XL contract.
Etude des marchés d’assurance non-vie à l’aide d’équilibres de Nash et de modèles de risques avec... more Etude des marchés d’assurance non-vie à l’aide d’équilibres de Nash et de modèles de risques avec dépendance THÈSE Numéro d’ordre 70-2012
Supplementary materials for a forthcoming paper entitled 'a Review of R Neural Network Packag... more Supplementary materials for a forthcoming paper entitled 'a Review of R Neural Network Packages (with NNbenchmark): Accuracy and Ease of Use'
Risk theory refers to a body of techniques to model and measure the risk associated with a portfo... more Risk theory refers to a body of techniques to model and measure the risk associated with a portfolio of insurance contracts. A first approach consists in modeling the distribution of total claims over a fixed period of time using the classical collective model of risk theory. A second input of interest to
actuar is a package providing additional Actuarial Science functionality to the R sta-tistical sy... more actuar is a package providing additional Actuarial Science functionality to the R sta-tistical system. The project was launched in 2005 and the package is available on the Comprehensive R Archive Network since February 2006. The current version of the pack-age contains functions for use in the fields of loss distributions modeling, risk theory (including ruin theory), simulation of compound hierarchical models and credibility the-ory. This paper presents in detail but with few technical terms the most recent version of the package.
Title toolbox for pseudo and quasi random number generation and RNG tests.
R topics documented: balance........................................... 2 expAtv.................... more R topics documented: balance........................................... 2 expAtv............................................ 3 expm............................................ 5 expm.Higham08....................................... 9 expmCond.......................................... 12 expmFrechet........................................ 13 logm............................................. 15 matpow........................................... 16 matStig........................................... 17 sqrtm............................................ 18 1 2 balance Index 20 balance Balance a Square Matrix via LAPACK’s DGEBAL Description Balance a square matrix via LAPACK’s DGEBAL. This is an R interface, mainly used for experimentation. This LAPACK routine is used internally for Eigenvalue decompositions, but also, in Ward(1977)’s algorithm for the matrix exponential. The name balance() is preferred nowadays, where “dgebal ” will probably become deprecated. Usage balance(A, job = c("...
Description Various actuarial science functionalities, mostly in the fields of loss distributions... more Description Various actuarial science functionalities, mostly in the fields of loss distributions, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory. The package also features 17 probability laws commonly used in insurance, mostly heavy tailed distributions. Depends R (> = 2.6.0) Imports stats, graphics
Description Additional actuarial science functionality, mostly in the fields of loss distribution... more Description Additional actuarial science functionality, mostly in the fields of loss distributions, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory, for the moment.