Presque mieux qu’une citation dans Science & Avenir, voir le regard de sa fille briller quand elle s’exclame, “papa, c’est toi dans la bande dessinée”
I will be giving a talk on May 4th, at the Mathematical Finance Days, at HEC Montréal, on multivariate dynamic models for counts. The conference is organized by IFM2 (Institut de Finance Mathématique de Montréal). I will be chairing some session and I will give a talk based on the joint paper with Mathieu Boudreault.
The slides can be downloaded from the blog,
“In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer‐valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Pedelis & Karlis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in both directions. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short‐term. An application to risk management and cat‐bond pricing will be discussed.”
One case study of catastrophes covers will be the Mexican cat bond. The dataset of past historical events in Mexico can be downloaded here.
Since everything we need is in this dataset, everything can be done using R.
mex=read.table("https://blogperso.univ-rennes1.fr/arthur.charpentier/public/conferences/EQ-mex-6-5.txt") mex$D=mex$V1*10000+mex$V2*100+mex$V3 mex$Date=as.Date(as.character(mex$D),"%Y%m%d")