Posts Tagged ‘ actuariat 10/11 STT6705V ’

Is it that stupid to make extremely long term forecast when studying mortality ?

December 14, 2010
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Is it that stupid to make extremely long term forecast when studying mortality ?

I received recently a comment by FCA (here) who raised an important question, about forecast in dynamic mortality models. (S)he mentioned that from his(her) point of view, the econometric models I considered were "good to predict for the next, say,...

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Statistique de l’assurance STT6705V, partie 12 bis

December 7, 2010
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Statistique de l’assurance STT6705V, partie 12 bis

In the previous post (here) discussing forecasts of actuarial quantities, I did not mention much how to forecast the temporal component in the Lee-Carter model. Actually, many things can be done. Consider here some exponential smoothing techniques ...

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Statistique de l’assurance STT6705V, partie 12

December 2, 2010
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Statistique de l’assurance STT6705V, partie 12

The final course (since courses end this week in Montréal) can be watched here and there. The drawings from the course can be downloaded here (including last week's). First, to come back on last week's course , we considered Lee-carter model, i.e....

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Statistique de l’assurance STT6705V, partie 11

November 29, 2010
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Statistique de l’assurance STT6705V, partie 11

Last course will be uploaded soon (the links will be here and there). The R code considered is given below. First, we had to work a little bit on the datasets, tabB=read.table("http://perso.univ-rennes1.fr/arthur.charpentier/tabB.csv", sep=";",head...

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Splines: opening the (black) box…

November 4, 2010
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Splines: opening the (black) box…

Splines in regression is something which looks like a black box (or maybe like some dishes you get when you travel away from home: it tastes good, but you don't what's inside... even if you might have some clues, you never know for sure*). With spl...

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My residuals look weird… aren’t they ?

November 3, 2010
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My residuals look weird… aren’t they ?

Since I got the same question twice, let us look at it quickly....  Some students show me a graph (from a Poisson regression) which looks like that, and they asked "isn't it weird ?", i.e."residuals are null or positive... this is not what we...

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Studying joint effects in a regression

October 7, 2010
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Studying joint effects in a regression

We've seen in the previous post (here)  how important the *-cartesian product to model joint effected in the regression. Consider the case of two explanatory variates, one continuous (, the age of the driver) and one qualitative (, gasoline ve...

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