Posts Tagged ‘ R-english ’

Generating stress scenarios: null correlation is not enough

December 28, 2010
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Generating stress scenarios: null correlation is not enough

In a recent post (here, by @teramonagi), Teramonagi mentioned the use of PCA to model yield curve, i.e. to obtain the three factor, "parallel shift", "twist" and "butterfly". As in Nelson & Siegel, if m is maturity, is the yield of the cu...

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Tennis and risk management

December 16, 2010
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Tennis and risk management

As mentioned already here, while we were going to Québec City for the workshop, we had interesting discussions in the car, and Maciej mentioned an article recently published in The Actuary, Hence, I wanted to discuss (extremely) rare event probabi...

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I really need to find hot (and sexy) topics

December 15, 2010
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I really need to find hot (and sexy) topics

50 days ago (here), I was supposed to be very optimistic about the probability that I could reach a million viewed pages on that blog (over a bit more than two years). Unfortunately, the wind has changed and today, the probability is quite low... ...

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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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Confidence bands with lattice and R

December 10, 2010
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Confidence bands with lattice and R

If you use lattice with R, and you need to plot confidence limits in your graphic, then panel.smoother and panel.quantile from latticeExtra will help you with this task. These functions internally calculate the error bounds and use panel.polygon from lattice. If you need to plot your own confidence limits, then you have to define a

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New version of solaR (0.21)

December 9, 2010
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New version of solaR (0.21)

The version 0.21 of the solaR package is now available at CRAN. This package provides a set of calculation methods of solar radiation and performance of photovoltaic systems. The package has been uploaded to CRAN under the GPL-3 license. solaR is now able to calculate from both daily and sub-daily irradiation values. Besides, there are

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Finding roots of functions in actuarial science

December 7, 2010
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Finding roots of functions in actuarial science

The following simple code can be used to find roots of functions (based on the secant algorithm), secant=function(fun, x0, x1, tolerence=1e-07, niter=500){for ( i in 1:niter ) { x2 <- x1-fun(x1)*(x1-x0)/(fun(x1)-fun(x0)) if (abs(fun(x2)) < to...

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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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