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 ...

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) >...

Power analysis is a very useful tool to estimate the statistical power from a study. It effectively allows a researcher to determine the needed sample size in order to obtained the required statistical power. Clients often ask (and rightfully so) what the sample size should be for a proposed project. Sample sizes end up being

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...

MathJax allows you to customize how \( \LaTeX \) is displayed. Simply right click over the math you’d like to see to access the display menu. Under “math settings” you can see zoom trigger and factor options. Given how small the text ...

Setting up a beamer slideshow is tedious. Creating new slideshows with the same header/footer/style files every week for your course lectures is very very tedious. To solve this problem I created a simple bash shell script. When you run the script in...