Yesterday, Daniel Marcelino published an interesting post on his blog, untitled Parallel Processing: When does it worth ? I was asking myself the same question for a chapter I am currently writing. And I did like his approach, so I tried, on my computer to do the same. I did use ... [Read more...]

A couple of days ago, we had a quick chat on Karl Broman‘s blog, about snakes and ladders (see http://kbroman.wordpress.com/…) with Karl and Corey (see http://bayesianbiologist.com/….), and the use of Markov Chain. I do believe that this application is truly awesome: the example is ... [Read more...]

In a previous post, a few weeks ago, I mentioned that I will be in Las Vegas by the end of July. And I took the opportunity to write a post on roulette(s). Since some colleagues told me I should take some time to play poker there, I guess ... [Read more...]

This week-end, I wrote a post since I had some trouble to generate a sample random sample with R, to reproduce one obtained by a co-author, with SAS (generated using Fishman and Moore (1982) used in function RANUNI). I was lucky since another contributor for that book, Christrophe Dutang, got the ... [Read more...]

In my courses on R, I usually show how to insert a picture as a background for a graph. But it is also to see the picture as an object, and to insert it in a graph everywhere we like to see it, as explained on the awesome blog http://... [Read more...]

With Stéphane Tufféry, we were working this week on a chapter of a book, entitled Statistical Learning in Actuarial Science. The chapter should be based on R functions, and we wanted to reproduce some outputs he previously obtained with SAS. The good thing is that even complex functions (... [Read more...]

In the course on claims reserving techniques, I did mention the use of Poisson regression, even if incremental payments were not integers. For instance, we did consider incremental triangles __ source("http://perso.univ-rennes1.fr/arthur.charpentier/bases.R") __ INC=PAID __ INC[,2:6]=PAID[,2:6]-PAID[,1:5] __ INC [,1] [,2] [,3] [,4] [,5] [,6] [1,] 3209 1163 39 17 7 21 [2,] 3367 1292 37 24 10 NA [3,] 3871 1474 53 22 NA NA [4,] 4239 1678 103 NA NA NA [5,] 4929 1865 ... [Read more...]

A nice post was recently published on the rsnippets blog, about the tikzDevice R package. This package is – indeed – awesome. Even if it has been removed from the CRAN website. Of course, it can be download from the archive folder, on http://cran.r-project.org/…, but also (for a more ... [Read more...]

Just a short post, to share some codes used to generate animated graphs, with R. Assume that we would like to illustrate the law of large number, and the convergence of the average value from binomial sample. We can generate samples  using __ n=200 __ k=1000 __ set.seed(1) __ X=matrix(sample(0:1,size=... [Read more...]

In fact, I’m going there with my family and some friends, including two probabilists (I mean professionals, I am merely an amateur), with this incredible challenge: will I be able to convince  probabilists to go to play at the Casino? Actually, I also want to study them carefully, to ... [Read more...]

A few months ago, I did published a post on negative values in triangles, and how to deal with them, when using a Poisson regression (the post was published in French). The idea was to use a translation technique: Fit a model not on ‘s but on , for some , Use ... [Read more...]

This morning, there was an interesting post entitled “why does Easter move around so much?” online on http://economist.com/blogs/economist-explains/… In my time series classes, I keep saying that sometimes, series can exhibit seasonlity, but the seasonal effect can be quite irregular. It is the cas for river ... [Read more...]

Benford’s law is nowadays extremely popular (see e.g. http://en.wikipedia.org/…). It is usually claimed that, for a given set data set, changing units does not affect the distribution of the first digit. Thus, it should be related to scale invariant distributions. Heuristically, scale (or unit) invariance ... [Read more...]

This morning, Mathieu had a nice experience in his course on computational method in actuarial science. But let us start with some mathematical formal definitions. First, recall that is – somehow – a standard expression. No one should be surprised to see such an expression. Generally (as explained in http://en.wikipedia.... [Read more...]

I love Saint Patrick’s Day for, at least, two reasons. The first one is that, on March 17th, you can play out loud The Pogues, the second one is that it’s the only day in the year when I really enjoy getting a Guiness in a pub. And ... [Read more...]

Recently, for a research paper, I some samples, and I wanted to compare them. Not to compare they means (by construction, all of them were centered) but there dispersion. And not they variance, but more their quantiles. Consider the following boxplot type function, where everything here is quantile related (which ... [Read more...]

The job of Bishop of Rome – i.e. the Pope – is considered to be a life-long commitment. I mean, it usually was. There have been 266 popes since 32 A.D. (according to http://oce.catholic.com/…): almost all popes have served until their death. But that does not mean that they ... [Read more...]

This morning, I was working on some paper on inequality measures, and for computational reasons, I had to sort elements in a matrix. To make it simple, I had a rectangular matrix, like the one below, __ set.seed(1) __ u=sample(1:(nc*nl)) __ (M1=matrix(u,nl,nc)) [,1] [,2] [,3] [,4] [,5] [,6] [1,] 7 5 11 23 6 17 [2,] 9 18 1 21 24 15 [3,] 13 19 3 8 22 2 [4,] 20 12 14 16 4 10 I had to ... [Read more...]

During the course, we have seen that it is natural to assume that not only the individual claims frequency can be explained by some covariates, but individual costs too. Of course, appropriate families should be considered to model the distribution of the cost , given some covariates .Here is the dataset ... [Read more...]

Last week, we’ve seen how to take into account the exposure to compute nonparametric estimators of several quantities (empirical means, and empirical variances) incorporating exposure. Let us see what can be done if we want to model a binomial response. The model here is the following: , the number of ... [Read more...]