Talk at the workshop in Sao Paulo, Thursday, on “estimation of quantile related risk measures“. The workshop also invited Claudia Kluppelberg, Richard Davis, and Ermanno Pitacco to talk. Slides can be found here. And maybe to explain a bit more where this idea of beta-kernels and transformed kernel comes from, I should mention those slides (see here for a more detailed version of the slides, and there for the full version of the paper with Jean David Fermanian and Olivier Scaillet).
Talk at the statistical seminar at the university of Belo Horizonte, Wednesday, on “multivariate extremes“. Slides can be downloaded here.
The talk will give a detailed introduction on multivariate extremes and related concepts. Then the case of Archimedean copula will be fully described (following the paper with Johan Segers).
Many thanks to Renato Martins Assunção (here) for inviting me for a couple of days in Belo Horizonte ! Thanks also for your interest in my blog… and since I understood that some people who do not speak French might be interested in my blog, I started to write my blog in English (or at least a langage that should not be too far away from English). There is a nice discussion about langage on this blog (here, unfortunately in French…)
Talk for the students of the undergraduate program in Actuarial Science in Belo Horizonte, Tuesday, on “claims reserving (IBNR) and statistical issues“. Slides can be found here.
Based on recent studies, such as the report by Swiss Re (here), the CAS Working Group on Quantifying Variability in Reserve Estimates (here), or the ROC/GIRO report on Best Estimates and Reserving Uncertainty (there), I will stress on important issues in statistical estimation of claim reserves. Note that a report by Tillinghast can also be found here.
I will also mention statutory elements, such as MCR and SCR, i.e. insurance company are now requiered not only to provide a best estimate for there IBNR, but also have to quantify uncertainty.
I will also mention practical issues for actuaries (and statisticians), using package ChainLadder from R, and showing how it becomes possible to interface R and MSExcel (see e.g. slides here, based on RExcel-Addin).