Vom 19. bis 23. September 2022 findet die erste CONVENTION A statt, ein neues Online-Veranstaltungsformat von der Aktuarszene für die Aktuarszene. Die deutschen Verbände DAV, DGVFM und IVS haben mich eingeladen, in einer Session mit Emiliano A. Valdez, Katrien Antonio und Kay Giesecke einen Vortrag über maschinelles Lernen im Versicherungswesen zu halten.
Our paper, Predicting Drought and Subsidence Risks in France, written with Molly Rose James, and Hani Ali, will appear soon in Natural Hazards and Earth System Sciences.
The economic consequences of drought episodes are increasingly important, although they are often difficult to apprehend in part because of the complexity of the underlying mechanisms. In this article, we will study one of the consequences of drought, namely the risk of subsidence (or more specifically clay shrinkage induced subsidence), for which insurance has been mandatory in France for several decades. Using data obtained from several insurers, representing about a quarter of the household insurance market, over the past twenty years, we propose some statistical models to predict the frequency but also the intensity of these droughts, for insurers, showing that climate change will have probably major economic consequences on this risk. But even if we use more advanced models than standard regression-type models (here random forests to capture non linearity and cross effects), it is still difficult to predict the economic cost of subsidence claims, even if all geophysical and climatic information is available.
Our paper, Government Intervention in Catastrophe Insurance Markets: A Reinforcement Learning Approach, jointly written with Menna Hassan and Nourhan Sakr is now available on ArXiv.
This paper designs a sequential repeated game of a micro-founded society with three types of agents: individuals, insurers, and a government. Nascent to economics literature, we use Reinforcement Learning (RL), closely related to multi-armed bandit problems, to learn the welfare impact of a set of proposed policy interventions per $1 spent on them. The paper rigorously discusses the desirability of the proposed interventions by comparing them against each other on a case-by-case basis. The paper provides a framework for algorithmic policy evaluation using calibrated theoretical models which can assist in feasibility studies.
This post was initially written in French with Rodolphe Bigot (lecturer at the University of Picardie Jules Verne), in the Winter 2020, and follows a previous post entitled Rethinking responsibility and causality.
Historically, algorithms were content to provide decision support, leaving a human being to make the decision, but experiments are underway, with autonomous systems, making decisions, whether it be car driving systems, or predictive justice algorithms, as shown by Huss et al. (2018). This autonomy, which basically means the “ability to act freely” also refers to the idea of “governing oneself by one’s own laws“. But what is the responsibility of the decision maker in the case of a prediction that leads to harm?
Continue reading What responsibility for the algorithms?
This post was intially written in French with Rodolphe Bigot (lecturer at the University of Picardie Jules Verne) in the Fall 2019.
In 150 years, the concept of responsibility has evolved a lot, without ever disappearing. And today, we find it in a variety of contexts, from ecological or industrial disasters – we will evoke a “precautionary principle” that has blurred the very notion of causality – to “intelligent machines” – which leave the role of helper to finally make decisions in our place.
Continue reading Rethinking responsibility and causality
I am proud and honored to become a senior editor of the Journal of Risk and Insurance, and to join such a great team, with Joan T. Schmit as editor in chief.
This post was initially published in French in September 2021.
The essential role of an actuary in charge of pricing is the segmentation of the portfolio (or “insurance classification” in English), corresponding to a discrimination activity (mathematically speaking) in the sense that the actuary will look for the most “discriminating” variables, to explain another one (in relation with the loss experience). But in the legal sense, discrimination is forbidden by law, which places the actuary in an often delicate and complex position.
Continue reading Insurance and discrimination, what role for actuaries?
This article was initially written in French and published in November 2021.
Rubinstein (2012) claimed that “in economic theory, like Harry Potter, the Emperor’s New Clothes, or King Solomon’s Tales, we play in imaginary worlds. Economic theory invents tales and calls them models. An economic model is also somewhere between fantasy and reality (…) The word ‘model’ sounds more scientific than the word ‘fable’ or ‘tale’, but I think we are talking about the same thing“. Today, very often, learning models will build a model, based on learning data, and the actuary’s job will be to make sense of it, to find the story – the fable – that it is possible to tell. Continue reading The myth of interpretability and explicability of models
This article was co-authored with Laurence Barry, and initially written in French during the 2020 Summer.
The early days of the SARS-CoV-2 (or COVID-19) pandemic have seen a proliferation of calls for “individual responsibility”, starting with strong calls (and even an obligation in some countries, including France) to stay home as much as possible in the early spring of 2020, before it became mandatory to wear a mask in public (often closed) places during the summer. To paraphrase Coluche « dire qu’il suffirait que les gens restent chez eux pour qu’on puisse sortir… ». This call for each person’s responsibility is made in the name of all and for the good of all, symbolizing this very particular solidarity that the pandemic reminds us of: the risk that I choose to run does not only concern my person but also constitutes a risk for those around me. To formulate it in probabilistic terms, McKendrick (1926) stated that “the probability of occurrence increases with the number of existing cases“. This conception of individual responsibility, which is quite intuitive a priori, actually runs counter to the classical conception of economics: the rational (and responsible) individual makes choices that concern him, and that concern only him. The collective good is deduced by summing up individual utilities, independent of each other. But here is the problem: with the epidemic, an interdependence of utilities is created, so that the well-being of so-and-so, who chooses not to wear a mask, can harm the health and therefore the utility of many other people. How then can we think in economic terms of this “individual responsibility” in the context of the epidemic?
Continue reading Reconciling collective risks and individual decisions
Vendredi, je participerais avec Rodolphe Bigot à la journée d’étude “Genre, Algorithmes et Droit” à Aix-en-Provence.
For Carl Sagan, “if you understand exponentials, the key to many of the secrets of the universe is in your hand”. But not everyone seems ready to unlock the secrets of the universe. Thus, in mid-November 2021, more than 18 months after the beginning of the SARS-COVID 19 pandemic, the Minister of Health stated “the circulation of the virus has accelerated for a few weeks now, with an increase of 30% to 40% per week. We are not yet in a so-called exponential phase” (quoted in Ouest France (2021)). Since an increase at a constant rate is precisely the definition of “exponential growth”, one may wonder about this statement, which reveals either a lack of numeracy on the part of our leaders, or an element of language, with the word “exponential” becoming a taboo word that should not be mentioned?
(this is the English tranlation of a post published in January 2022)
Continue reading The taboo of the exponential
Two years after the beginning of the COVID-19 pandemic, due to the SARS-CoV-2 virus, we have all become (pseudo)-experts in contagion models. But beyond diseases, these models based on networks of interactions between people are also commonly used to describe the spread of a computer virus, of social norms, of an idea or a rumor in a society, or of an economic crisis, as Kucharski (2020) reminds us.
(this is the English tranlation of a post published in April 2022)
Continue reading Modeling contagion
Zylberman (2021) noted that “this pandemic began with the first case, but it will not end with the last case (…) one cannot date the end of a pandemic and the beginning of an endemic. Yet, in mid-April, the French president slipped in an interview (Garnier (2022)) that “society [is] on its way out of COVID” implying that the SARS-CoV-2 pandemic was over. At the same time, the virus was still killing more than 100 people a day, according to official statistics. While it is legitimate to question what exactly is a “COVID death“, it may seem surprising that 100 deaths per day (for more than three consecutive months) were met with such indifference, and that such a level was interpreted as the end of the pandemic.
(this is the English translation of a blog post published a few days ago)
Continue reading Are there acceptable deaths? or how to end a pandemic
Zylberman (2021) notait « cette pandémie a commencé avec le premier cas, mais elle ne se terminera pas avec le dernier cas (…) on ne peut pas dater la fin d’une pandémie et le début d’une endémie ». Pourtant, mi-avril, le président français a glissé dans une entrevue (Garnier (2022)) que « la société [est] en sortie de COVID » laissant entendre que la pandémie de SARS-CoV-2 était terminée. À la même époque, le virus tuait encore plus d’une centaine de personnes par jour, selon les statistiques officielles. S’il est légitime de s’interroger sur ce qu’est précisément un « mort de la COVID », il peut sembler étonnant que 100 morts par jour (pendant plus de 3 mois consécutifs) aient suscité autant d’indifférence, et qu’un tel niveau soit interprété comme la fin de la pandémie.
Continue reading Y-a-t-il des morts acceptables ? ou comment finir une pandémie