Once again, Mathieu will give a talk in California, on our paper on counting processes and earthquakes, in August, at one of the USGS (U.S. Geological Survey) centers, in Menlo Park
Tag Archives: BINAR
Talk on bivariate count times series in finance and risk management
I will be giving a talk on May 4th, at the Mathematical Finance Days, at HEC Montréal, on multivariate dynamic models for counts. The conference is organized by IFM2 (Institut de Finance Mathématique de Montréal). I will be chairing some session and I will give a talk based on the joint paper with Mathieu Boudreault.
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The slides can be downloaded from the blog,
View more presentations from charthur.
“In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer‐valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Pedelis & Karlis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in both directions. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short‐term. An application to risk management and cat‐bond pricing will be discussed.”
Second Workshop on Insurance Mathematics
This Friday, the Second Québec-Ontario Workshop on Insurance Mathematics (WIM) will take place in Toronto, at the Fields Institute. Mathieu will give a talk on “Multivariate integer-valued autoregressive models applied to earthquake occurrences“. The paper can still be downloaded on http://arxiv.org/ and the slides can be downloaded here.
Talk on bivariate count times series to model eathquake dynamics
Monday afternoon, I will be giving a talk at UQAM on very recent work done with Mathieu Boudreault, on bivariate counting processes, applied to model earthquakes dynamics (see here). The slides can be downloaded on the blog,
Additional results will be mentioned in the talk, that were not in the first draft version,
BINAR processes and earthquakes
With Mathieu Boudreault, we finally uploaded our working paper on multivariate integer-valued autoregressive models applied to earthquake counts onhttp://hal.archives-ouvertes.fr/ and on http://arxiv.org/.
“In various situations in the insurance industry, in finance, in epidemiology, etc., one needs to represent the joint evolution of the number of occurrences of an event. In this paper, we present a multivariate integer-valued autoregressive (MINAR) model, derive its properties and apply the model to earthquake occurrences across various pairs of tectonic plates. The model is an extension of Pedelis & Karlis (2011) where cross autocorrelation (spatial contagion in a seismic context) is considered. We fit various bivariate count models and find that for many contiguous tectonic plates, spatial contagion is significant in both directions. Furthermore, ignoring cross autocorrelation can underestimate the potential for high numbers of occurrences over the short-term. Our overall findings seem to further confirm Parsons & Velasco (2001).“
The starting point of our paper with Mathieu was the paper on the absence of remotely triggered large earthquakes beyond the main shock region, by Thomas Parsons and Aaron Velasco published in May 2011 in Nature Geoscience. I was supposed to present this work at the Geotop seminar last week, but the seminar has been canceled and I will probably present it this Winter. Slides as well as R code will be uploaded for the seminar.