Next Wednesday, I will be giving a seminar at Università degli studi dell’Insubria on Machine Learning and Econometrics. The presentation is based on Econométrie et Machine Learning (so far only in French) written with Emmanuel Flachaire and Antoine Ly. Slides are now available online…
Category Archives: Seminar
Séminaire à l’INED
Ewen Gallic sera à l’INED aujourd’hui pour présenter les résultats du papier sur les données collaboratives de généalogie et sur leur utilisation en démographie historique. La présentation aura lieu au sein de l’unité de recherche Histoire et Population .
Pour rappel, l’annexe méthodologique est en ligne sur Github.
Insurance: Risk Pooling and Price Segmentation
Talk this afternoon at the seminar of Telecom ParisTech
Insurance is usually defined as “the contribution of the many to the misfortune of the few”. This idea of pooling risks together using the law of large number legitimates the use of the expected value as actuarial “fair” premium. In the context of heterogeneous risks, nevertheless, it is possible to legitimate price segmentation based on observable characteristics. But nowadays, intensive segmentation can be observed, with a much wider range of offered premium, on a given portfolio. In this talk, we will briefly get back on statistical approaches of insurance pricing (classical econometric tools vs machine learning). We will then get back on recent experiments (so-called “actuarial pricing game”) organized since 2015, where real actuaries are playing in competitive (artificial) market, that mimic real insurance market. We will get back on conclusions obtained on two editions, the first one, and the most recent one, where a dynamic version of the game was launched.
By the way, there will be soon a fourth version of the “Actuarial Pricing Game”… some information soon, on this blog…
Insurance: Risk Pooling or Price Segmentation, in Paris
I will be tomorrow at the ESSEC-Risk seminar, to give a talk on insurance pricing. Slides are now online.
Segmentation et Mutualisation en Assurance, à Québec
Cet après midi, je donnerais un exposé à l’Université Laval à Québec. Je suis ravi d’y retourner, surtout que ca sera (au moins) mon cinquième exposé sur ce campus, dans quatre départements différents (actuariat, statistique, informatique, une nouvelle fois au département de Finance, Assurance et Immobilier de la Faculté des Sciences d’Administration).
Les transparents de l’exposé sont en ligne.

Segmentation ou Mutualisation en Assurance, à l’Institut des Actuaires
Ce soir (après la soutenance de doctorat) je donnerais un exposé au Groupe de Travail Big Data de l’Institut des Actuaires, à deux pas de l’Institut. Les slides du mon exposé sont en ligne,
J’avais initialement dit que je présenterais le papier écrit avec Emmanuel Flachaire et Antoine Ly, intitulé Econométrie et Machine Learning. Comme j’ai pas mal de temps, je reviendrais sur le papier au milieu de la présentation, mais l’exposé sera (a priori) un peu plus général.
Exposé à Caen
Je serais en début de semaine à Caen pour un exposé sur “Understanding the Choice Negociated vs. Court Settlements in Bodily Injury Claim Compensations“, à partir de travaux en cours avec Enora Belz, Pierre-Yves Geoffard et Julien Tomas.
In car accidents, involving bodily injuries, a no-fault system has been instated in 1985, the so-called ‘loi Badinter‘. Following the accident (and after consolidation of victims injuries), the insurer of the driver of the car should offer a compensation to all victmims, that should cover health expenditures up to healing or recovery, as well as additional compensation for temporary incapacity, loss of professional earnings, temporary functional deficit, etc. The victim can either accept that compensation, or choose to go to court. Then a judge settles the claim, and the insurer has to pay for this compensation. Using the official data of AGIRA (association pour la gestion des informations sur le risque automobile), with more than 111,000 victims, injured between 1999 and 2014, we try to explain amounts obtained. The challenge here is that we only have to final settlement, and if the victim goes to court, the amount offered by the insurance company. Using Maddala (1983)’s limited dependent model, we model those two amounts, and then investigate the choice to go to court for a victim.
Quantile and Expectile Regressions
Tomorrow afternoon, because Pavel Shevchenko is currently in Rennes, there will be a small workshop. I will present some recent work with Amadou Barry and Karim Oualkacha on quantile and expectile regressions (our work is more specifically on panel regressions, with random effect models, quantile QRRE and expectile ERRE) but tomorrow, it will be more an introduction. Slides are available online.
Talk on Causality with Non-Gaussian Time Series, at Paris 7 Diderot
This Monday, I will be giving a talk at Paris 7, room 1016 of the Sophie Germain building, on causality with non-Gaussian time series. Slides are now online.
MultiAttribute Copula Utility Functions
In June, with Olivier L’Haridon, we will organize a (small) conference, in Rennes, on risk models in a multi-attribute framework. In order to fully enjoy the workshop (more to come on the blog), we organized this year an internal workshop on that topic. A gave an oveview in September on multivariate distributions, with an emphasis on spherical / elliptical distributions, distributions on the simplex, and copulas. This time, following recent presentations made by Olivier, I will present Ali E. Abbas (recent) contributions on copula-type multriattribute utility functions. Slides are online, and the presentation will be this Thursday
As discussed in the introduction, one (nice) application can be the choice of a seat in a theatre, see
Multiattribute, Risk and Utility
As discussed already, in June 2016, with Olivier L’Haridon, we will organize a (small) conference, in Rennes, on risk models in a multi-attribute framework. Related to that conference, we have a working group on related topics. At the end of September, I gave a brief survey on multivariate distributions. And yesterday, Olivier gave the first part of survey on multivariate decision making. The second part will be in two weeks,
Overview on Multivariate Distributions
In June 2016, with Olivier L’Haridon, we will organize a (small) conference, in Rennes, on risk models in a multi-attribute framework. In order to fully enjoy the workshop (more to come on the blog), we will organize every month an internal workshop on that topic. We will start tomorrow afternoon, 13:00-14:30, and I will give a brief talk on multivariate distributions, with an emphasis on spherical / elliptical distributions, distributions on the simplex, and copulas. Slides are now online,
Local Utility and Multivariate Risk Aversion
Our joint paper Local Utility and Multivariate Risk Aversion, written with Alfred Galichon and Marc Henry will appear soon in Mathematics of Operations Research.
I will present it, next Thursday in our Risk Workshop, in Rennes, organized by Olivier L’Haridon.
Back in Leuven, for a talk on Nonparametric Estimation
I am currently in Leuven for a few days. It is always a pleasure to be back to the place where I defended my PhD, a few years ago.
I will give a talk, tomorrow, at noon, on nonparametric (and kernel related) inference for quantiles and risk measures, inspired by recent work with Emmanuel Flachaire. Our first paper log-transform kernel density estimationof income distribution is online on http://papers.ssrn.com/id=2514882, and should appear soon. Another one it able to be finalised, soon.
Big Data, à Paris
Mercredi maitin, après une dernière réunion à Bruxelles, je prends le train pour être à Paris à l’heure du repas du midi pour faire une (rapide) intervention sur le big data, pour le groupe de travail big data de l’Institut des Actuaires. Je crois que l’intervention est prévue à 12:30, chez Optimind, rue de la Boëtie. J’ai essayé de mettre quelques éléments de réflexion dans des transparents, histoire de lancer des débats !