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”
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(
 100021 20
> pricing <- read.csv2(
 36311 15
Everyone is invited to play! The more, the merrier….