Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

With Mathieu Pigeon, we finalized a short paper on  ‘macro’ vs. ‘micro’ methods in claims reserving. The paper is now online on arxiv

Traditionally, actuaries have used run-off triangles to estimate reserve (“macro” models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves, with “macro” and “micro” models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, application on claims reserving are considered.

R Crash Course, Data Science for Actuaries, Year 2

This Monday, we will start the second year of the Actuary: Data Science (ADS) program, supported by the (French) Institute of Actuaries. I will be there on monday morning for the opening, and we will start the R & Datamining course. The slides are now online,

In order to get nice slides, I have been using slidify. The R code is available online, as well as some pdf version of the slides.