Early Warnings in Chicago

[Excerpt] Dear Mayor Washington, The Milton Bradley Company, the parent of Playskool, Inc has just announced a $18 million loss for 1983 down from$19 million profit in 1982... these results have increased ongoing speculation here at the factory that this facility will be closed... Can\u27t you help us somehow? I can\u27t sign this cause it would probably cause me trouble if they knew I was writing to you. The arrival of this letter in the Mayor\u27s office in the Winter of 1984 coincided with the city\u27s initiation of a unique attempt to do something about plant closings in Chicago. Some Chicago neighborhoods have almost 40% fewer jobs now than ten years ago, and over the past five years the city has been losing 10,000 jobs a year

Reinsurance, ruin and solvency issues: some pitfalls

In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance should lower ruin probabilities, it should be easy to derive an efficient Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional reinsurance, this is no longer the case in nonproportional reinsurance. Some examples where reinsurance might increase ruin probabilities are given at the end, when claim arrival and claim size are not independent.Dependence; Reinsurance; Ruin probability; Solvency requirements

On the return period of the 2003 heat wave

Extremal events are difficult to model since it is difficult to characterize formally those events. The 2003 heat wave in Europe was not characterized by very high temperatures, but mainly the fact that night temperature were no cool enough for a long period of time. Hence, simulation of several models (either with heavy tailed noise or long range dependence) yield different estimations for the return period of that extremal event.Heat wave, long range dependence, return period, heavy tails, GARMA processes, SARIMA processes

Multivariate integer-valued autoregressive models applied to earthquake counts

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)

We are not alone ! (at least, most of us). Homonymy in large scale social groups

This article brings forward an estimation of the proportion of homonyms in large scale groups based on the distribution of first names and last names in a subset of these groups. The estimation is based on the generalization of the "birthday paradox problem". The main results is that, in societies such as France or the United States, identity collisions (based on first + last names) are frequent. The large majority of the population has at least one homonym. But in smaller settings, it is much less frequent : even if small groups of a few thousand people have at least one couple of homonyms, only a few individuals have an homonym

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

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

On a vector-valued Hopf-Dunford-Schwartz lemma

In this paper, we state as a conjecture a vector-valued Hopf-Dunford-Schwartz lemma and give a partial answer to it. As an application of this powerful result, we prove some Fe fferman-Stein inequalities in the setting of Dunkl analysis where the classical tools of real analysis cannot be applied

Weighted estimates for solutions of the ∂\partial -equation for lineally convex domains of finite type and applications to weighted bergman projections

In this paper we obtain sharp weighted estimates for solutions of the $\partial$-equation in a lineally convex domains of finite type. Precisely we obtain estimates in spaces of the form L p ({\Omega},$\delta$ $\gamma$), $\delta$ being the distance to the boundary, with gain on the index p and the exponent $\gamma$. These estimates allow us to extend the L p ({\Omega},$\delta$ $\gamma$) and lipschitz regularity results for weighted Bergman projection obtained in [CDM14b] for convex domains to more general weights