Yesterday, I was asked how to write a code to generate a compound Poisson variables, i.e. a series of random variables where is a counting random variable (here Poisson disributed) and where the 's are i.i.d (and ind...

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For the last course MAT8886 of this (long) winter session, on copulas (and extremes), we will discuss risk aggregation. The course will be mainly on the problem of bounding the distribution (or some risk measure, say the Value-at-Risk) for two random variables with given marginal distribution. For instance, we have two Gaussian risks. What could be be worst-case scenario...

Consider our loss-ALAE dataset, and – as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, > library(evd) > data(lossalae) > Z=lossalae > X=Z;Y=Z The first step can be to estimate marginal distributions, independently. Here, we consider lognormal distributions for both components, > Fempx=function(x) mean(X<=x) >...

Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related things). Consider (as before) the loss-ALAE dataset (since we’ve been working a lot on that dataset) > library(MASS) > library(evd) > X=lossalae > U=cbind(rank(X)/(nrow(X)+1),rank(X)/(nrow(X)+1)) The standard tool to plot...