“A 99% TVaR is generally a 99.6% VaR”

Almost 6 years ago, I posted a brief comment on a sentence I found surprising, by that time, discovered in a report claiming that

the expected shortfall […] at the 99 % level corresponds quite closely to the […] value-at-risk at a 99.6% level

which was inspired by a remark in Swiss Experience report,

expected shortfall […] on a 99% confidence level […} corresponds to approximately 99.6% to 99.8% Value at Risk

Continue reading “A 99% TVaR is generally a 99.6% VaR”

Pricing Game

In November, with Romuald Elie and Jérémie Jakubowicz, we will organize a session during the 100% Actuaires day, in Paris, based on a “pricing game“. We provide two datasets, (motor insurance, third party claims), with 2  years of experience, and 100,000 policies. Each ‘team’ has to submit premium proposal for 36,000 potential insured for the third year (third party, material + bodily injury).

We will work as a ‘price aggergator’ with all the teams, with simple matching rules (the cheapest is chosen, or more complex rules, based on random selection among cheap insurers). The complete description is available on line.

R codes to read the datasets are

> training <- read.csv2(
+ "http://freakonometrics.free.fr/training.csv")
> dim(training)
[1] 100021     20
> pricing <- read.csv2(
+ "http://freakonometrics.free.fr/pricing.csv")
> dim(pricing)
[1] 36311    15

Everyone is invited to play! The more, the merrier….

On my way to Bruxelles, Belgium

After Amsterdam, the next stop is Bruxelles, Belgium. Here again, it is always a pleasure to get there… And then, time to get back home, to finalize some posts, prepare the new lectures, and answer all the late emails I got during those past days…

(illustration par l’immense Yves Chaland, français certes, mais qui a su relancer la ligne claire quand j’étais plus jeune, dans l’esprit des grands belges, comme Franquin…  et le Jeune Albert se passe à Bruxelles, alors on va dire que je peux légitimement utiliser un de ses dessins pour illustrer un voyage à Bruxelles).